Live does not support multi-channel midi in devices (including max for live devices). I have no idea why. It’s enough to make me want to use another DAW. Bitwig and Cubase have excellent MIDI support. Bitwig has an intriguing open control script API as well, and someone has written OSC support for it.
That being said, it might be possible to alter insanity so that it only uses a single MIDI channel.