I also want to be able te do program changes. How do I set it on the CP4 to be able to receive program changes?

With this I mean to select performances. Not to change a sound on one of the tree parts.

Page 37
To recall Performances you use MSB 63, LSB 80, Program Change 0-127

This is already what I found as an answer to my last question. I must send on my montage on the same channel as the BasicCh on the CP4.

That still leaves me with the Device number. No idea what that means...

By default MIDI is always transmitted on ch 1, 2, 3 for respectively MAIN, LAYER and SPLIT.

”By default”... this is how the CP4 Stage transmits and receives when you are using it alone. This would be useful when recording the CP4 Stage with an external MIDI Sequencer. The data is output and received back on the channels as you outline... useful for recording and playing back the CP4 Stage, alone. This is not to be used when attempting to intelligently control external devices. For that you want to use the MASTER KEYBOARD function within each Performance... perhaps, you are not clear on when this fact is useful.

Use the default only when recording and playing back the CP4 Stage to an external DAW.
Otherwise, learn to use the 4 Zone Master Keyboard Function when you want to intelligently communicate with external devices!
We say ‘intelligently’ because you want to be able to define what is sent Out via MIDI. .. please recognize these four Zones can be independently setup and do not affect internal sounds...

When MasterKbdSw is activated, the default gets overruled and the zone settings are applied.
I guess that is correct? Now:
-In UTILITY>MIDI: BasicCh: Is this to set the Basic receive channel? What is this used for? I can send from my Montage on ch 1, 2 or 3 and the CP4 will receive all of them. So I don't know the purpose of BasicCh.

This parameter can be used to set the channel for transmission and reception of Performance changes.
Settings: 1 to 16 and off

You must understand the difference between a Performance and a Part. (Definitions are the same for MONTAGE, by the way...)
“Basic Channel” addresses the entire CP4 Stage. A Performance is made up of three Parts... a proper message on the Basic Channel changes the Performance (all 3 Parts together).
If you address the CP4 Stage with a Bank Select and Program Change to an individual Part, the Performance remains, only the individual Part changes.

-In UTILITY>MIDI: DevNo: To set device number of the CP4? But what is that used for

Not for you, most probably...

The Device Number allows those with multiple CP4 Stages to address each one individually. Say you have a sixteen CP4 Stages in a college lab setup. You could send a message to each individual device by giving each one a different Device Number... you can have as many as 16 instruments in a setup. In a Parameter Change (Sysex) message I can direct the change to any one specific CP4 Stage in the Lab. (Device Number is like a MIDI Channel for Sysex messages... it allows you to address one device among a group of similar devices).

By sending the appropriate Bank Select, Program Change and Device Number messages down the wire I can address just the Split Part of the current Performance in CP4 Stage #8... specifically changing a particular parameter.

Basic Channel used to change Performances... example MSB/LSB 63/80 selects an entire Performance, PC 0-127 (there are 128 User Performances)

Individual Parts of a Performance each occupy a Channel. Main occupies Ch1, Layer occupies Ch2, Split occupies Ch3... example MSB/LSB 63/xx (where ‘xx’ is an LSB number between 00-15, or 32), PC numbers vary by Category... example each Acoustic Piano Category button has 15 variations (0-14)

When addressing a Parameter Change the message includes the Device Number as a part of the third byte, F0 43 10 .. .. .. .. ..
F0 _ start of exclusive
43 _ Yamaha Manufacturer ID
10 _ “1” is the Parameter Change message, “0” is Device number one

Like your MONTAGE, you can address individual Parts and/or you can address entire Performances. Simply use the correct Bank Select.
Like you MONTAGE, individual Parts occupy specific locations, that correspond to their individual Receive Channel; 1-3 in the CP4 Stage, 1-16 in the MONTAGE.

The Basic Channel can be Channel 1
The Main Part is on Channel 1
The Device Number can be Channel 1

I can send different messages to each of these discreetly. They are unique and different commands. Remember MSB/LSB 63/80 is required on the Basic Channel to recall an entire Performance
A message with MSB/LSB 63/0 would address the Voice in Part 1 of the current Performance. Totally discreet.
Device Number channel is defined in a Sysex message... and addresses this CP4 Stage separately from the fifteen others in a Lab setup.

Hope that helps.
Useful chart in your CP4 Stage DATA LIST Booklet page 35