EVP:
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?
The original poster is using MIDI-over-USB, not MIDO over 5-pin DIN connectors. However, unless you have come across MOCP for LUFA before it would be easy to miss that.
EVP:
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.
MIDI over USB does not chain like that. On the other hand, each device has an actual name, rather than being described as 'whatever MIDI interface' that you plugged it into.
EVP:
Sound like you a bit confused as to how midi works.
That conclusion does not really follow. It is increasingly common for MIDI devices to connect over USB.