Damn, I'm running into this issue now too.
I want to be able to pull up different instrument racks, or at least Sampler "presets", with program changes built into MIDI clips, but it seems this can't be done without the chain selector workaround.
Chain selector workaround is ok, but I don't remember...do non-selected devices consume CPU ? I'm wondering if having 20-30 chains in a rack is going to kill me? Seems like having program change for Ableton instruments would be a simpler solution.