There's probably PC messages and/or MSB/LSB messages you'll need to take out of the file so the MIDI file won't try to do this. You can use a MIDI editor. One came free with your instrument - Cubase.

Maybe overkill for this purpose - but still effective.

Here is the problem. I can't seem to change the instrument for each part. As an example, the midi file automatically triggers an acoustic bass. I want to change it to a synth bass. But each time hit play from the beginning it reverts to acoustic bass.

This is because of the Program Change message embedded in the Track.

You can stop your MONTAGE from reading those Bank Select and Program Changes by turning the “Receive Switch” to OFF for the Part.

Suggestion... allow the file to make the initial Program Changes... then decide, on a Part by Part basis which ones you want to manually select a substitute. Say Tracks 1, 2 and 3 are fine... but the electric piano in Part 4 you want to change:

Press [PART SELECT 4]
Press [EDIT]
Touch “Mod/Control” > “Receive Switch”
Set Bank Select and Program Change = Off
Return HOME

Now you can Category Search for a substitution... for Part 4
With Part 4 selected
Press [CATEGORY SEARCH]
Set the “Bank/ Favorite” = All
Set the “Attribute” = Single
And proceed to find your substitute for Part 4

Rinse and repeat for each Part you want to chose your own sounds... you can do this for all Parts if you so desire...
Now when you store the Performance it will be your selections.