Just weighing in here to say that I use an A4mk1 live, and previously had an OTMK1 in the setup too. Both slaved to an external clock (Initially Logic Pro, now a Critter & Guittari Organelle). I never experienced issues with the Elektron machines responding to Program Changes.
In that particular setup, I seldom used the built-in sequencers though - they were being sequenced/played externally. Maybe that is part of the issue.
Perhaps find a way to isolate the issue and see whether it’s the MPC, or indeed whether it is the Elektron machines but only under certain conditions. If you’re handing with Pure Data / Max, I always find that a neat way to sandbox these kinds of problems and work out exactly what is going on.