Hi Etienne,
Incomprehensibly, there is no "External Controller" tab on PSR-SX models in the MIDI display (just as there is no "MFC10" tab on PSR-S models). It is therefore not possible, as usual with Tyros models and Genos, to use MIDI Note On commands from an external MIDI controller (e.g. the MFC10) and then assign them to the desired functions in the MIDI settings on the keyboard.
In other words, in conjunction with PSR-S/SX models you would have to program everything directly on the MFC10 or work directly with the corresponding SysEx (e.g. for style control) instead of with the mentioned Note events.
By the way, I am afraid that many of the functions that can be controlled on Tyros models or Genos in conjunction with the MFC10 cannot be used on PSR-S/SX models because there are no SysEx for them or they are not documented in the Data List.
Best regards,
Chris