OK, I summarize all the inputs :
This MIDI A to MIDI B wiring enables to get more extra voices capabilities for the song, the style and for R1,R2,R3 and left parts.
It can be done via a PC, via the VConsole, or via XGWorks.
But in practice, I have no idea how to proceed, even to do some trials with a PC. If somebody has some step to step procedure, it would be fine for many users to experiment this feature.