Thank you for all your help, it's very inspiring.
I think I figured it out now.
When developing a preset in the instrument, you can assign controls to any knob from the midi controller.
The midi-config is saved with the preset in the preset-database.
When you load the preset from Analog Lab 4 you load the default midi-config which comes with the instrument.
The default can't be changed and overrides the preset-midi-config on the controls used.
You can move the default features to new knobs, but you can't add new features and the default-config is reserved.
So you can't use the unused knobs in Analog Lab to something else than the features in the list.
You can assign a midi-control to an instrument feature which is on the Analog Lab list for the instrument and it will work.
e.g. assign AUX 1 to Volume on the instrument and the pedal will adjust the volume on the instrument in Analog Lab.
But it won't work in Analog Lab, if you assign AUX 1 to swell-pedal on the instrument since it is already assigned to the exp. input and not in the instrument feature list of Analog Lab. (You can assign exp. input CC# value to AUX pedal in MIDI control center, but that is not a very flexible way to implement it)
How it works (explained for myself)
In Analog Lab the MIDI controller controls the controller on the screen and the controller on the screen controls the instrument.
The controller on the screen have a pre-defined and limited amount of features, and that can't be changed and it supersedes the midi-config you saved with the preset on the instrument. Unused midi-controls can't be used to implement new features on the instrument in Analog Lab. There is one strange exception. You can assign Pitch-bend and Mod-wheel to features on the instrument and those will work on the preset in Analog Lab.
So back to my initial problem: Can I use Concert Mode to perform and control by my self-designed presets?
No, only with the limitations defined by Arturia.
Since lesley-speed is not in the list of features on the Analog Lab version of the B3 organ, I can only control it from the Mod-wheel and I can't latch stop/run (pitch-bender) from a unused dial or a AUX foot-switch.
It would be great if the above worked the same way as when you assign features in Live/Mixer to controls.