The ask here is probably that None-On, Note-Off, Sustain, Pitch Bend, and Modulation are MIDI messages that are desired to be sent while disabling any other MIDI messages.

And, to that end, it looks like you would want to use Master Keyboard Mode and edit the Advanced Zone settings (Advanced Zone SW=ON) with a focus on:

Tx SW Note (should be on)
Tx SW Bank (can be off but maybe this is desired still)
Tx SW Program (same as Bank)
Tx SW Volume (off if you don't want to send volume changes)
Tx SW Pan
Tx SW PB (should be on for pitch bend)
Tx SW MOD (should be on for modulation)
Tx SW Sustain (should be on for sustain pedal)
Tx SW FS (off to filter out sending footswitch messages)
Tx SW FC1 (off to filter out sending expression pedal 1 messages)
Tx SW FC2 (off to filter out sending expression pedal 2 messages)

That's the level of control you have.

I would like to play the XF6 from the CP88's keyboard, but the buttons on the CP88s control panel obviously also affect parameters like attack, release or cutoff on the XF6.

Please excuse me.
I use a MIDI cable for the connection.
Local Control is set to ON.
I can't tell exactly which knob or knobs send the MIDI messages to the XF6.
Actually they should all be MIDI disabled für what I want to do.
I will try Jason's settings. I thank you very much for the help.

If there's a cutoff knob that sends what Yamaha calls the "Brightness" CC MIDI message, then for this knob I don't see a filter that would prevent that.