Adding the external instrument to MainStage is the right direction, but then it wouldn't play the MainStage instruments. All I could hear was the reverb of the PX piano in Bank 0-0, which is odd since i turned the volume of in all zones. Pressing the sustain pedal would increase the reverb in the PX, but didn't sustain.
All I'm trying to do is layer MainStage with the PX and have the pedals (Sustain, Expression and Sostenuto) control both instruments. Maybe there's a tutorial somewhere on this?