It's been a while since I configured my FCB1010 and I haven't yet tried controlling the PF via MIDI, but I use a simple momentary switch to change keys on the PF. I used it live for a couple of years and it worked well, I connected the switch to the expression pedal control jack. I have forgotten the exact config and don't have the PF in front of me but using a momentary switch in the expression pedal jack allows the fastest switching of keys. Open/pdeal up = saved key, closed/pedal down = modified key. I used this method to get the right harmony notes while playing certain riffs. Unfortunately, I believe only one such key modification can be programmed for the pedal as it's a global setting not per patch.
Using the FCB, I'd planned to use the UNO chip toggle feature which I think would make the process of changing keys much simpler. The UNO chip is so useful and cheap, I can't imagine using an FCB without it.