There are two separate things you are asking about here.
1) Setting up an A/D Input in a Performance, while controlling it via MIDI.
2) Setting up to record Audio to your DAW

Let’s take these one at a time.

_Setting up an A/D Input in a Performance, while controlling it via MIDI.
When you want to create layers, splits or combination layer/splits that are a mix of both internal and external Zones, that is what Zone Master is designed to do. A Zone can be set to transmit to the Internal MONTAGE engine, or to an External device or, in the rare instance, to both. The MONTAGE can transmit via 8 Zones at once.

[UTILITY] > "Settings" > "Advanced" > set Zone Master to On (this activates the “Zone Settings” and “Zone Transmit” screens for each Part in every Performance. Initially all Part Zone Switches default to Off.

Each Part slot can trigger an internal Zone or it can be routed Out via MIDI to an external device.
To create a Part Zone slot that only addresses your external MIDI device, you must program what the Part slot is doing Internally (you must assign an internal program to the Part slot and then set INT SW = Off), and what it is set to Transmit Out Externally (you are substituting the external device for one of the internals) then set a Transmit Channel, Note Limit, Octave, Transpose, Volume, Pan, Bank and Program Change messages).

By programming one of the eight possible KBD CTRL PARTs as an “external Zone” means you can control it along with whatever the Performance has been setup to do.

If you also return the audio of that external device to the MONTAGE A/D IN, you can treat that external synth exactly like it was any other MONTAGE synth Part!!! The A/D In has its own dual Insertion Effects, and can even be routed to its own stereo analog output.

Are there advantages in routing the audio output of my MIDI 'slave' hardware device through the MONTAGE A/D Input?
Yes, there are several beyond just saving a couple of channels on the band's mixer:
_You have an [A/D Input On/Off] switch available on the front panel. If ever you need to cut audio for the external device you can at the touch of a button. Great for those "on-the-fly" type users.
_The A/D Input "Volume" can be pre-set and controlled on a per Performance basis. Balancing volumes of internal and external slots for complex layers and splits, can be stored and accurately recalled; Realtime control over A/D volume can be assigned on the Common/Audio level of editing in MONTAGE and varied via the AssignKnob/Super Knob system... meaning you can morph and crossfade between internal and external sounds same as you do with the internal MONTAGE sounds.
_The A/D Input can be assigned it's own dual Insertion Effects per each different Performance. It's signal can be merged with the MONTAGE to the Main L&R Outputs or can remain discreet and travel to the Assignable L&R Outputs. Parameters of the Insertion Effects dedicated to A/D Input can be assigned to realtime Control same as any internal synth Part.
_The A/D Input can be used as a modifier (modulation source) within the Motion Control Synthesis Engine. The A/D Input can be routed via the MONTAGE's Side Chain Modulation feature to the Compressors, Dynamic Effects, Vocoder etc. adding a new dimension to your musical performance.
_The A/D Input can be used as a tempo source for all clockable functions within MONTAGE. Great if your external device has any kind of automated rhythmic functions. By setting MIDI SYNC = "A/D IN" MONTAGE will sync all clockable functions to tempo it derives from the audio source connected to the analog inputs.
_The A/D signal path takes advantage of Yamaha's high definition audio path, VCM processing and Pure Analog Circuit output. It will sound great!

Setting up to record Audio to your DAW
When setting up to record to a DAW, you will have different configurations depending on whether your goal is to record MIDI or Audio.

The reason to record initially as MIDI, followed by rendering the data as audio, is the many editing functions allowed while your performing is documented as MIDI events. Not only do you get to change your mind about what you played, but even what instrument programs you used to perform it.

If you have setup a Performance that layers/splits both internal and external synth sounds and you wish to record it as MIDI, I recommend you do your initial MIDI recording directly to the MONTAGE Performance Recorder. This way you can easily document every nuance of your playing and can easily program the sound to ‘play’ correctly. Once you have it recorded to a MONTAGE Song, you can literally drag and drop the results into your favorite DAW using MONTAGE CONNECT’s “Song Import” option.

Once you have the MIDI tracks in your DAW you can add more tracks, you can edit them further, and then finally, prepare for rending the MIDI Track to Audio. This is accomplished by playing them back from your DAW to MONTAGE and returning audio from the MONTAGE to Audio Tracks in your DAW. You can route each MONTAGE Part on its own Stereo bus if you wish (you can transfer up to 32-buses simultaneously), you can route your external synth’s Output to its own discreet stereo track if you wish (you do so by routing the MONTAGE A/D IN Part to its own USB bus Out. The system is flexible enough to render individual drums from within a Drum Kit to their own audio tracks.