First, the DJX responds to all 16 MIDI channels by default and unfortunately, there's no way to mute them separately. However, I suggest you to use this keyboard as a slave of another synth from which you could mute the MIDI output of the channels you don't want the DJX to respond (if your synth has this feature, obviously!). Therefore, you could plug the MIDI OUT of your master synth to the MIDI IN of the DJX and everything should work fine.
Second, I don't know any way to upload styles to the DJX neither samples. In fact, if you hope this, buy a true dance workstation: don't expect a 300 $ keyboard to act as a Roland XP-60!
Finally, you were right: the DJX is a AWM based synth, which means that this unit boasts 16 bits / CD quality sounds. I'm not sure, because Yamaha never talk about more specific specs of its home keyboards (PSR family), but the DJX has about 2.5 MB of samples. Judge it by yourself although this baby synth deserves a try!
Hope this will help you.