Ok there's a few things and I'm not sure which to note, so I'll just quote it directly.
MIDI Edit Mode
Hold down the Tap/BPM key and press the Rec/Stop key. After approximately one second, you will enter MIDI Edit mode, and the MIDI channel will be displayed blinking in the Program/BPM display.
Setting the MIDI Channel
In MIDI Edit mode, the Program/BPM display will show the MIDI channel. At this time you can use the Program/BPM knob to change the MIDI channel.
MIDI message transmission/reception settings
Transmission and reception of each type of MIDI message can be turned on/off by pressing one of the keys listed below. Transmission and reception are enabled when the corresponding LED is lit. Transmission and reception are disabled when the LED is dark.
Changing the control number
By holding down one of the Program Memory 3-8 keys and turning the Program/BPM knob, you can change the control number setting. Although it is possible to select a control number that is already in use, it is not possible to simultaneously turn on transmission and reception for MIDI messages of the same control number.
Press and hold the Rec/Stop key for one second or longer, and the MIDI settings you modified will be stored
It will leave MIDI Edit mode if the touch pad is touched or the KP2 is idle for 10 seconds (without any operation)http://www.korg.com/uploads/Support/KP2_OM_E_633661788715550000.pdf
Here's the KP2 Manual. Pages 8 and 9