At one point, I had three Factors (TF, MF, PF) all feeding each other via MIDI in a big loop. I'm not quite sure how I had everything set up, but I had the MIDI Clock on one controlling the other two and I had the Program Change from another one also controlling the other two. And I did it without a Merge box, too… but like I said, I don't remember at this point what the exact settings were. I think the TF was the master clock and the PF was the master program changer, but everything was connected MIDI Out to MIDI In using 3 standard cables between those 3 boxes. I wasn't really trying to accomplish anything more than just to see if I could do it. It was too convoluted to be practical for everyday use.
Anyway, the point is that there's no reason why you can't connect a number of MIDI devices in a MIDI loop. It takes some careful configuration, though, to avoid MIDI feedback, like Brock said. Basically, just make sure that any device that is transmitting a specific function is not also receiving that function. If it is, it creates a feedback loop and it won't work. For instance, if you've got a device that's transmitting MIDI Clock, it should not also be set to receive MIDI Clock, or it may (depending on the device in question) constantly try to chase itself and nothing will work. That applies to any CC data as well, and any other function, really, but those two are the main ones. To the best of my knowledge, you aren't going to blow anything up by trying, though. Just make sure you've got a backup of the presets you care about and you remember how to do a factory reset in case things get out of hand.
