You might also be aware of the fact that within sequencer mode, there are pages for setting the volumes, etc. for each track. This includes MIDI channel settings. If everything is set for the same channel, you'll only get that one sound, as you described. In a Combi, however, every track is wide open. As Wendy Carlos said, "Every parameter you CAN control, you MUST control!"
You'll also have to properly match up the tracks with the segments of the SMF you want them to play, but that's a fair method of learning your way around & doing strange swaps of instrument roles to boot. You'll probably stumble on an even easier way of addressing it, just by fiddling with it a bit.
I'm probably missing some OTHER picky little point in the process-there are so MANY!-but it comes to you in little layers like this. I agree with you about the manual, which is just above 'fair'; I've seen worse, though, such as the DX7 release that translated "modulation" into English as "tickling." Synth or sex toy, the listeners decide!