You only need the through port if you're going to daisy chain two or more pieces of MIDI equipment.
About your last question, if it has MIDI, then it can be controlled by MIDI. MIDI is a remote control protocol. You have to remember, it is a standard, so it works between different manufacturers.
A master keyboard usually has more options to control more MIDI equipment simultaneously. It might have more than one IN and OUT port. Most keyboards, be it a piano, synth or master keyboard, come with a through port. Also, there are master keyboards and synthesizers with weighted, full-sized keys too, so go easy on the generalisations.
-tek
[This message has been edited by tekminus (edited 03-02-2003).]