Correct you need to switch channels to whatever channel the tracks MIDI IN is set to. On the Keystep at least this is very easy by just holding Shift and selecting a channel.
Hypothetically yes you could set all 6 tracks to receive on the same channel. But do you really want to trigger a sample on all 6 tracks with every key press? To be clear here, all tracks will be receiving the MIDI data you send not just the one you have selected for editing on the device.