Awesome. Thank You so much!

This way is annoying, because the arp stops playing every time you select a new Part. So if your workflow is to discover parts that sound good with a given arp, and you're considering a LOT of sounds, record some of the arp to the Pattern Sequencer.

Now you can playback the pattern sequencer's section of your arp and live change that part, without the Playback stopping, and quickly go through and favourite as many parts as you find that work well with your arp.

Downside of this approach is that you cannot modify the sounds/parts (no editing) only change parts in and out during Pattern Sequencer playback. This is a HUGE oversight by Yamaha... as it means both ways of cycling through and sampling parts for arps is somewhat compromised.

There's a different way and it involves the MIDI Loop-Back Cable. The general idea is you have one Part that you do not change the sounds for and this Part is playing the Arpeggio. Then a 2nd Part will be the target of the arpeggio and it can change without affecting the arpeggio previews.

1) Plug in 5-pin MIDI cable between MODX MIDI ON and MODX MIDI OUT
... under [UTILITY] "Settings" -> "MIDI I/O"
2) Make sure MODX's "Midi In/Out" setting is for "MIDI and not "USB"
3) Make sure the ARP MIDI OUT is set to ON.
... under [UTILITY] "Settings" -> "Advanced"
4) Make sure MODX is set to multi-channel MIDI mode
5) Make sure MODX turns on "Zone Master"
... General Performance settings
6) Part 1 can be anything. Might as well initialize with "Init Normal (AWM2)"
7) Edit Part 1, Arpeggio - turn on Arpeggio Part and Master. Set arpeggio individual to the arpeggio you want to audition. Turn on arpeggio Hold. Loop should be ON.
8) Strike a key to hear the arpeggio run. Just let it keep running through all the rest of the steps (hold is turned on so the arpeggio will play "forever"
9) Edit Part 1, Zone Settings. Turn on Zone (Part Zone), change MIDI Output Channel to Ch2. Turn Int SW OFF. You'll stop hearing the arpeggio, but it's still running.
10) Add Part 2 any single-Part Performance you want. Now you'll hear the arpeggio and the 2nd channel is playing it.

... you can switch Part 2 to any single-part Performance and the arpeggio will keep running now with the new sound.

The MIDI "loopback" cable is required because internal routing of MIDI doesn't send the arpeggio no matter how Arp MIDI Out is set.

Since there was some zone setup for Part 1 - you may want to [STORE] this Performance as "Arp Audition" or similar and recall it whenever you want to do this again instead of rebuilding.

... and a possible workaround for the "return to the original Part" problem:

Note - this assumes you've already setup the arpeggio you want and the ability to start an ARP has been turned on.

1) Before auditioning different Parts - switch away from your current edits. You can touch the Performance name in the [PERFORMANCE] (HOME) screen then turn the DATA DIAL one click. Or any other safer means to accomplish the same thing. Save your work first to prevent mishaps - but it's not absolutely necessary.

2) from [PERFORMANCE] (HOME) -- you should already be there from 1 -- touch the Performance name and choose "Recall"

Aside: Note that when you switched the Performance without storing it - your keyboard saves your current edits in the Recall buffer. Now you can use the Recall buffer you "saved" within the context of your Performance as a sort of undo.

3) Since you've already setup arps - now just touch the Part (from the home screen again) and choose "Category Search" to replace the Part. Turn off MS/ARP Param with Part so changing Parts doesn't overwrite your arpeggio settings. This kind of method was detailed by others.

4) When you're done, [EXIT]. You'll be back in the home screen. If you want to get back to the original sound, touch the Performance name and choose "Recall". This time, your settings will be restored from before you changed the Part with Part Category Search.

... this "undo" can be leveraged at any time for any purpose. If there's any time you have something you're editing (not [STORE]'d) and want to come back to it - then switch away from the Performance (go to another Performance) then Recall. Now wherever you were before the Performance switch is saved in the Recall buffer and you can keep going back to it (aka "undo") as long as you don't switch to another Performance. When you do switch to another Performance -- whatever the state of your (previous) Performance was is saved in the Recall buffer thus making a new "undo".

I'm not saying these are the "best" ways to do this. However, I offer up ways to manage certain strange behavior if you really wanted to deal with the fact that Part Category Search's [EXIT] button and [ENTER] button work the same. Seems to me that [EXIT] should cancel the operation and restore your original Part without selecting a new Part and [ENTER] should be the only way to lock in your selection. Those were not the cards we were dealt, however.