Hi Jahasw,
You will be able to assign MIDI channels per sequence in the melodic sequencer. It is saved per project (one channel for each sequencer: SEQ1, SEQ2 and DRUM).
For Drums, MIDI and Gates are not exclusive. You can send the same signal to both an analog drum module via gate outs, and to a MIDI module. There are 8 drum gates, so you still have 8 pads that can be used with MIDI only. You can only set one MIDI channel for the drum output, but you can define the drum map (notes sent by each pad) in the MIDI Control Center application.
MIDI Thru, I can't tell for now, I'll let you know once I have more information on that. Given that the BeatStep Pro processes incoming MIDI (for real time recording, sequence transpose, ...), we can't have a full Thru mode, at least for the channels/notes that are effectively used by it.