It appears that you already have MIDI -> OUTPUT set to THRU (program changes are received).
I'm thinking that the problem lies with the value of the CC0 message that you're sending. A continuous controller message has two parts: CC number, and the value 0-127. In a "switching" type of situation, any value from 0-63 is OFF; 64-127 is ON.
As an example, I have my FCB 1010 send a CC number with a value of 127 for Bypass, and the next press of the footswitch sends the same CC number, but with a value of 0 (for Active).