Yeh that’s the thing with Program Change Messages regardless from the Direct Change mode you have set on the machine. But you can use MIDI notes via midi mapping as described in the manual if you need immediate changes. Have a look a this post here: https://www.elektronauts.com/t/program-change-help-please
BTW, I think you can send PGM changes to OB without going through the “Analog Four (midi)”. In Live, you can send MIDI from a track to your OB track and select “16-Analog Four” as output channel.