In Performance mode the Roland should receive on all midi channels unless it has been disabled (not the default). Of course unless you send patch change info, you'll get whatever patch that performance program has set for the channel you're sending on.
In Patch mode it'll receive on only the channel you have it set to. Should be 1 by default, but this can be turned off. Your controller (set to the correct channel) will play whatever patch you have selected. Sending program info will change the patch.
In Rhythm mode, sending on channel 10 will trigger the drum patch you have selected.
I scan for patches I want in Patch mode and use Performance mode to play back from my software sequencer using a different channel for each sound. The software sends the program info, so which program I use in Performance mode is irrelevant.
There should also be a General MIDI mode that'll make it respond on all channels to GM program info and music data. I use this for my notation software, Sibelius.