I've been playing with the multis as well lately and I thought I noticed the same thing at one time (I've really only used Stylus RMX in Kit mode so far, since I usually prefer to program my own drums, but wow, what kits!). However, I've just gone in now and tried to confirm this with a few multis but I couldn't, so I was probably mistaken (again).
One thing I noticed is that there seems to be a few variations of the Part on channel 1 programmed on the keyboard from C3 up. I think (but I could be wrong) that if you want to play the other channels on the keyboard you have to change to the appropriate MIDI channels on your controller.
I put it down to my own lack of knowledge (as evidenced by this rather useless reply). Stylus RMX is a pretty complex piece of kit, and there are so many different ways to use it that it's easy to get confused as to what should be happening and how you make it happen (well, that's my experience so far anyway).
And, to be honest, I'm too damn lazy to go look for the section in whatever movie it is that covers this -- too much like hard work! Gimme a manual any day :-)
Sometimes you want each element to be on a different midi channel. This is most useful when playing a multi-layered groove from tracks in your host sequencer. Sometimes you want each element to be on a different midi key on the same midi channel. This is most useful when playing live.
RMX is quite flexible and you can have it either way (actually, there are other ways to control RMX as well!). Use multis for the former and groove menus for the latter.
Multi mode in every hardware and software instrument that I've ever seen means MULTITIMBRAL MIDI playback. That's why it's called Multi mode after all ;-)
Compositionally you can easily drag and drop MIDI files for each of the parts in the multi to your host sequencer to create a longer composition. This is one very valid way of working.
If you want to trigger them all in real-time from your controller keyboard on a single MIDI channel, simply open the Browser, and click add to Favorites for each Part and the Jump to the Current Favorites Suite and you'll have all the elements from that Multi available to you playable in real-time in Groove Menu mode.
So you can easily have it both ways in RMX.....not "lame" at all :-)
In fact, using Multis to "build-up" a Groove Menu Favorites suite like this is a great way to work, because you know in advance that the Elements you add to the favorites work together really well musically, since you've already previewed them in Multi Mode.
You know...another way that you might like to work is to MIDI Learn the part play buttons. Then you can control the individual parts of a multi from a single channel very quickly by using hardware switches on your controller. It would operate directly and still have all the benefits of the Trigger mode quantizing options like Groove Menus have.
I have a feeling that this would be the ideal solution for you, since it seems like your main goal is to simply load a multi and trigger the individual parts in realtime with no in-between steps. RMX can do this very well by using MIDI learn with the play buttons and solo/mute in the mixer.