In setlist mode, it seems you are able to send out a program change. I have seen discussions to using this to replace writing a script especially for MSB/LSB bank select messages. But, how do you assign multiple program changes, if you are dealing with multiple channels, and how do you map the PC to the device.
I assume you found where to set the PC message (double clicking the song name)?
The other possibility is to configure MIDI messages to send out on a song part change (double click the song part name to configure these). So you could also set MIDI messages to be sent on the first song part.