Scott,If I was setting a combination as you mentioned on a "Roland", it is simple and effective..
By setting the rx and tx data and turning off "local" for the parts you do not want to hear from the controlling keyboard ..On G70,E50,60,80..these settings are saved to a "user program"..similar to Yamaha registrations..
Earlier Roland models (G1000) were saved to "midi sets" and not the "performances".
What you need to find out...can Yamaha save the midi data to a registration?..If the settings of the "MIDI" data is saved as "Global" only (I find this hard to believe}..than you would have to live with a single setting and change when needed..this would be a pre mid 80's limitation, and I doubt any manufacturer would limit midi save this way...
Check you MIDI save options on the Tyros2..You are looking for the ability to save a midi set up...ideally with a registration or a link to a registration...
The rest of your project will be setting the rx, tx and locals..