If you use the MIDI program change as you describe, it "loads" the preset, rather than just turning it on. As a result there is no concept of "turning it off."
Probably what you want to do is to BYPASS the unit – this will connect its out put to its input, or mute the output, depending on the BYP TYP and KILLDRY settings. You can set up the RCV CTL to allow MIDI to bypass the unit via a continuous controller CC.
But, not all pedals will send a suitable CC.
You should be able to create a BYPASS preset on TF by turning the MIX knob all the way to fully "dry" – this will be much the same as DSP BYPASS. If you set KILLDRY to ON it will instead MUTE the output.