To globally prevent all other Performances from sending Midi out, (play internal only) in Utility Midi I/O  ........Zone Master apparently needs to be "off' to do this

This isn't clear to me.  The disconnect is that I know turning on/off Zone Master doesn't impact what MIDI is sent out for all Performances.  In particular, the Preset Performances.  They do not have any Part with Zone Part turned on so hypothetically if your keyboard was set to Multi-Channel MIDI mode (a global [UTILITY] setting) then turning on and off Zone Master wouldn't change what's sent out all MIDI channels.  Channel 1 through the Channel of the last Part (Channel 4 for a 4-Part Performance for example) would all send MIDI data out and wouldn't change when Zone Master is toggled.

So, for "all other Performances" - do you mean all the other ones that you've created?

I'm trying to understand if any of the Performances you're wanting to work a certain way are presets or not.  Certainly presets have some limitations.

I'm also inferring you're using single channel MIDI mode although I could be wrong.

At any rate, here are some (but not all) rules to work with:

1) No presets are internal only.  If you want this, you need to create a User Performance copy of a Preset and set up Part Zones to prevent MIDI from being sent from MODX for each Part (or change the MIDI transmit channel to channels that do not match what your external gear is looking for)

2) If you need some Performances to receive (MODX receive) MIDI to the same channel and some Performances do not want this behavior then you need to set the [UTILITY] setting to Single Channel (or Hybrid) MIDI mode.  These single/hybrid modes are defeated for every Performance that has a Part Zone turned on - so you would just turn on Part Zone for those Performances you want to behave like Multi-Channel MIDI Performances and leave Part Zone for every Part OFF for those Performances you want to use as Single/Hybrid MIDI.   This is a convenient way to have some Performances working in one mode and some in another. 

I would leave Zone Master on and then edit the other Performances (all the ones except for "PlayEXternal" ) to not play externally using Zone Part settings.  This may be a lot of work if the number of Performances is large - but doable.  Software may help since an offline editor (Melas tools, for example) has cut/paste that may help expedite.  I haven't used these tools beyond looking at the demos so I cannot really give definitive guidance on their usage or if they will help in this situation.