Ah right. Never had that feature on a controller before myself, just have had to learn different scales when doing keysig transposing.
You can transpose your sequence in semitones while it's running by using the transpose mode. I also came across an interesting thing while in arpeggio, I can feed it a chord externally then transpose that chord on the keyboard. It's sorta hard to explain what happens, but I did it by sending it two notes from my BSP (the two note seqs set to the same MIDI channel as the Keystep transpose channel) and had Transpose on and Hold on.