Live in its default form does nothing with Program Change.
The intention of Program Change is for changing a preset. Some but not all vst's support it. Along with a lot of hardware synths. Almost any keyboard or synth of any kind with midi in has some kind of program change option (it is basically the same as hitting up and down through presets)
If you use a vst effect and want to do program change, that would require you to first route a midi channel to that specific device.
For the most part, I don't know if Program Change would give you much of a bonus as a tool in Ableton Live for performance, but I highly encourage you to experiment and understand how to implement it

:)