I had a little difficulty setting it up too when I first got my second one (I think they inverted it somewhere along the way). But after fiddling with the MIDI Control Center software for a few minutes, I got it working. Make sure you sync it and save it to both active memory and preset one. Active Memory is only temporary, Presets are permanent. I use MainStage too, I suspect you have it set to accidentally send/echo out program changes, which are switching the patch on the Keylab. There's a global preference for it, I believe if you click on the full concert item (top of the patch list), you can edit it in the edit pane... but it might be elsewhere.
Surprised that you've got a reversed expression pedal though. The only manufacturer I know that goes with inverted pedals is Yamaha, which is why I stay away from buying any Yamaha accessories. Bar-none, the best Expression pedal I've ever got for keyboards is Mission Engineering. They're not cheap, but they're fantastic and built like a tank. Totally sleigh anything by Roland or Yamaha.
Andrew: I've bought MANY sustain and Expression pedals without a polarity switch. Roland/Boss, Fatar, Mission, Kurzweil. I've heard they make them, but I've never seen one.