I believe I am trying to do a similar thing. I have already recorded a song into the mox. It is the beginning of an arrangement. I want to be able to hit play and have this song play and while it is fading out begin playing the remaining part of the song. However; the mox will not allow it and before I can start playing I have to stop the sequencer and then press the song mode to play the rest of the arrangement on split keyboard. Of course this delay messes up the whole song so I hope someone can figure this out.
This is what I found out in the reference manual about playing MIDI files simultaneously with the keyboard but it is from a USB. I don't know if you may already know this but if not it may be helpful.

 Playing back a SMF (Standard MIDI file) from USB flash memory
In the File mode, you can directly play back a SMF file saved in a USB flash memory device. This function is convenient
in live performance, since it lets you easily use SMF data as accompaniment while you play the keyboard.
1 Connect the USB flash memory including the SMF file device to this instrument.
2 Enter the Song mode or Pattern mode, then select the desired Song or Pattern.
3 Press the [FILE] button to enter the File mode.
4 Press the [F3] LOAD button to call up the Load display.
5 Move the cursor to “TYPE,” then select the “Song” or “Pattern.”
6 Select the SMF file.
7 Press the [F6] R (Play) button to play back the SMF file with the Mixing settings of the currently
selected Song or Pattern. Press the [SF2] J (Stop) button again to stop playback.
8 Try playing the keyboard along with the accompaniment of the SMF file.

Thanks for your reply. I can play the SMF file from a USB stick as per manual and automatically there is a piano available to play with it, but I cannot choose a performance to play with it. I was hoping that by loading it in a song position, where I can also mute certain channels that it could. One of the problems is probably that the song already occupies the 16 available Midi channels (1-16) and the performance needs at least one midi channel for up to 4 parts.