I debated this issue, too, and decided that, for me, it's easier to change programs on each pedal separately. Then again, most of what I play is improv and not nearly as structured as some bands I've been with before.
The only thing I could come up with is having one preset that is basically nothing (mix 0%), then using the program control maps to control which preset comes up for each program change message. Either that or having a whole bunch of presets that are empty.
I definitely see the need to do what you're talking about, but I'm not sure that there are any other ways to do it than to get a dedicated MIDI board capable of sending both program change and CC messages.
I'm curious as to what others' solutions to this have been… I'm sure there will come a time when I will want to do this, too, and I'd love to have other options, or at least know what works for others in this situation.