The "MIDI I/O Mode" must be understood together with the "Zone Master" function. Both are global settings.

The MIDI I/O Mode determines how a Montage will receive and transmit data from Performance
The Zone Master determines how Montage acts as a Controller (transmit).

As you know, MIDI I/O Mode = Multi, the Montage transmits and receives on multiple channels simultaneously;
MIDI I/O Mode = Single, the Montage transmits and receives on a single channel.

If "Zone Master" is OFF, then the "MIDI I/O Mode" setting of Multi or Single applies globally for all Montage Performances.
If, however, the Zone Master is set to On in UTILITY, then when you activate a Zone locally within any Performance, that act will override the Single MIDI I/O setting for that Performance. Obviously, activating a Zone Switch in a Performance will create a situation where what is transmitted is defined by the settings you make in that Performance; the Montage Tone Generator reverts to Receiving and Transmitting on multiple MIDI channel. Each Part 1-16, receives Channel 1-16 respectively, the KBD Transmit is determined by the Part or Parts you select to play.

If you are not using the Montage as your Master Keyboard, then set the ZONE MASTER function OFF
Press [UTILITY]
Touch "Settings" > "Advanced"
Set Zone Master = Off
Set MIDI I/O = Single
Set MIDI Channel = 11
Your Montage will now Receive and Transmit data only on MIDI channel 11

You cannot have the Montage in MIDI I/O Mode = Single as your global setting and be using a Master Zone control function in the same Performance... obviously. I say obviously, but if it's not obvious because you're confused about how MIDI works, then look at it this way... if you select SINGLE, then you can't also transmit and receive on multiple channels, at the same time... they are opposites. It's that simple.

The act of setting any of the 16 Zone Switches in a Performance will override the MIDI I/O Mode = Single for the current Performance.