Just a follow-up to this situation -
As @pianopaul described, Ableton was not very helpful in trying to export multiple tracks with different output channels (it appears Ableton will always assign Ch. 1).
Someone else pointed me towards a different post that refers to the free software MidiEditor. This didn’t help ‘directly’, but here is what I was able to do:
a) I did find a website that can combine all the midi files into 1, but I still have the output channel issue.
https://www.ofoct.com/merge-midi-files
b) I took the ‘combined’ file, loaded it to MidiEditor and I can select all the events for a given track and change the Output-channel for each track.
c) After changing the (5) tracks to point to their own channel, I loaded the file to the GP midi-player, and it appears to come up the way I would expect. I still needed to adjust routing a little bit with different VSTs and the Midi-Constrainer was another helpful find.
So, I think I am on my way, albeit, using the scenic route.
Thanks.