The simplest MIDI chain is to connect MIDI out from the controller to MIDI in on one of your synths, then MIDI through from that synth to the MIDi in on the next synth in the chain and so on.
eg:
P60 MIDI OUT ----> MOTIF MIDI IN
MOTIF MIDI THRU ------> PROTEUS MIDI IN
They all need to share 16 channels of MIDI between them.
If you set up the P60 to receive on MIDI channel 1, anything you record in MIDI on channel 1 will be played back by the sound currently on the P60.
Is the Proteus capable of playing back more than 1 sound simultaneously?
If so, then you can assign it to use only one MIDI channel too, otherwise you'll need to split the remaining 15 channels between it and the Motif.
If you then set up, say, the Motif to respond to channels 2 - 10 and the Proteus responding to channels 11 - 16, when you set the master controller's global MIDI channel to 2, 3, 4, 5....through to 16, you'll be playing sounds on the other devices. So, using the above example config, anything you record on MIDI channels 2 - 10 will play back sounds on the Motif and anything on channels 11 - 16 will use the Proteus.
The only problem you might have is that the MRS, as far as I know, doesn't act as a fully functioning sequencer (correct me if I am wrong). It may be tricky to copy MIDI data around within the MRS unit and route it to other channels. I'm at a loss with this one.
Maybe someone who owns a unit will jump in and help out here.
Hope that I have been of some help though.
Dags