I wanted to buy a DJ-X to run with a Atari Cubase rig. Intriguing the problems you're having. The Channel number in the arrange page tells Cubase which channel the play the track through. In theory, if you record bass live on ch1, pads on 2, and beats on 3, and set all channels to OFF they should play on the correct channels.
I've been tempted to jump at a few synths for dance work of late that have an additional GM bank included, but as you have found, when sequencing they always seem to default to the GM bank.