I just found a great workaround myself. The good thing is that there are key ranges in the Midi Rx settings. So I fooled the BK-9 by telling it I was playing from an external keyboard via midi, while in fact playing on the BK-9 itself. Crazy.
Quote from my own post in the other forum:
It WORKS!!!
Plugging the same Midi cable into midi out and midi in is the solution!
Turn off Local in the midi settings, and set the Midi Rx key ranges of MBS and Lower below C4 and for Upper 1/2 from C4 upwards. That's it.
The On/off switches for the 4 live parts work perfectly. That way you have 4 full polyphonic live parts, two left, two right!
If you don't want to connect another instrument and use BK-9 stand alone, that's the solution.