Daisy chain just allows you to connect multiple midi devices to each other in one long chain as opposed to having to have 10 midi in / out ports on your pc to connect to 10 midi devices.
If you're looking to control your Kemper, connect the midi out of your audio interface to midi in on the Kemper and midi in of your audio interface to midi out on your Kemper. You shouldn't have to change any of the default settings.
What I do at that point is create a midi track in Cubase, and point it to the your audio interface midi port. I use the default of channel one, i.e. I didn't change anything on the Kemper.
By default, if you double click on a midi track you get the piano roll editor. Open up the List editor instead from the main menu (I think it's under Midi, not in front of Cubase at the moment). This gives you the geek's-eye-view and here is where you can create CC messages. The Cubase manual covers the list editor in terms of how to select the event type (continuous controller versus program change, etc.).
I use this in performance mode and at the given point in the song fire a CC 47 + (performance number - 1) as data. This brings up the desired performance. Follow that with CC50 - 54 to activate slots 1 - 5.
Additionally, you can control a bunch of other stuff via CCs. I highly recommend looking at the MIDI section of the manual on page 205 through 209 for listings of all the functionality available.
The switching is very fast and I've found it to be a breeze to program in Cubase. This is what I do with all the songs I work on now, so once I press Record I don't have to do anything but play guitar.
They've done a really nice job on this.