Ah!
This makes it way way way more challenging then. Since I do not have a manual (and I'm going to sleep now so will continue tomorrow) I can't say if I can be much help. At least based on what you just told me this definitely goes beyond your basic MIDi connections. Most KBs automatically transmit on so called Global MIDI channel (although some have different options for MIDI TX and RX channels) so normally it's just a matter of connecting things right and making sure that the MIDi channels match.
However, if on this particular model MIDI control of external devices has to be setup per program or zone I can't tell you what the exact procedure is since I haven't got access to the manual.
If you don't mind could you may be throw a brief description of what the manual says (not as brief as you so far have) my way I'll try to figure this one out. usually it isn't that hard.
BTW we're all MIDi dorks when it comes to new gear and unfamiliar synths.

Will continue tomorrow.
-ED-
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A gentleman is one who never hurts anyone's feelings unintentionally.
- - - Oscar Wilde