You are using the Mega as a USB MIDI device? It sounds like you are and if so the channel the midi is on is irrelevant as each device have 16 channels. Do yo have a separate midi interface using the standard 'old' 5 pin din?
This is what you would use if you wanted then all on the same device i.e the midi interface. That's what midi 'thru' was for to pass channel information onto the next device.
Sound like you a bit confused as to how midi works.
Look at the end of this project for changing the name of a USB devicehttp://www.thebox.myzen.co.uk/Hardware/Mini_Monome.html