Not sure if you've worked it out yet but indeed it works.
Need to go to 'Utilities' and set 'BASE CHANNEL' and 'PGM CHANGE Tx/Rx'. The Midi channel associated with CC's or Note ons within a channel is just 'local' to the channel. Also make sure that your MP is listening to the correct Midi connection (USB or DIN); default is likely global or both.
Just because the Midi light is flashing doesn't mean the commands/notes are being interpreted (though it's a step in the right direction!)
Am using a Novation MKII SL but am sure any controller will work.
Moog Voyager Select, Taurus 3, Opus 3; Oberheim Son of 2-voice; Sequential ProOne; Waldorf Blofeld; 48 of MU Modular; Kurzweil 250; Hammond M3; Fender '75 Jazz, Tony Franklin Fretless, Hoppus, Roadworn Jazz; Yamaha Att III; Mesa Amps; MF101,102,104M,105M