Hey labrune,
You can go to
http://www.harmony-central.com and go into the MIDI section and there's some good reading about MIDI and MIDI messages. I'm sure there's probably lots of other sites that talk about how MIDI messages and devices work.
You aquired an excellent keyboard. I love the XP60. I had an XP50 once but I didn;t like the keyboard's action. The XP60 has much better action.
It sounds like it's possible the midi file you played has patch change and maybe bank change parameters in it, but you created it with Harmony Assistant. I think with the XP60, when your in performance mode you can toggle through the "parts" by hitting the Part up or Part down buttons no? then you can also hit the inc and dec buttons to scroll through sounds.
I think you can select your sounds this way for tracks 1, 5-10 and then save the performance as a user performance. Then you will have to make sure you select this user performance then play the sequence.
Peace
<><
Bob