Could you try hooking the H9 up to a MIDI interface connected to a computer and looking at its output in Midi Monitor on Mac or Midi OX on Windows? It could be that the MIDI out jack isn't working as you suggested; you could try sending MIDI messages through it and check if they go through. Or you could leave things configured as they are and check if program changes are coming out. Maybe, they're coming out on a MIDI channel you didn't expect. Maybe, they're not coming out at all. It's hard to say what the problem is at this point.
