You're not missing anything, that's the way it works.
Each bank has 10 switches. They don't ALL have to send Program Changes, but each switch can only send one NOTE.
So, say you have a Preset for Bass, and you want to play "I'm Dumb" (I-V) in key of "A".
Set Switch One to send the Program Change to get the Bass Preset loaded, then on switch Two don't set a PC, just set NOTE "A" (I); then set switch Three the same way but with NOTE "E" (V). One PC change can get you up to 9 NOTES, but that's a whole Bank of switches, and you only have 10 Banks.
Attached is a screenshot of that configuration using the Control Center Editor.