You have described exactly the way to do it.
Put all the MIDI in one clip on the Play track, using notes on different MIDI channels as desired. In Play, set the instruments to receive MIDI from a specific MIDI channel and output to a separate output.
Here is an example using IK's Philharmonik:
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https://i.imgur.com/XZF5sKj.png
Also, you can hide the output audio tracks in the Arranger and show them only in the Mixer.