First thing to know is that you can only do that using MIDI cables - no Ethercon or FASLINK.
The good news is that the Axe-Fx II/III doesn't know about SETs - that's something that is built into the MFC-101. When you select a SET in the MFC-101 there's no interactlon between the MFC and the Axe-Fx. When you select a song from the currently selected SET in the MFC-101, it will send the correct Preset number (as a Program Change MIDI message if I recall) so you've have to make sure that the III is configured to respond correctly, on the correct MIDI channel to the PC command. I think
. It's been a while since I did that. As long as the III is configured to appropriately and listening on the same MIDI channel as the MFC-101 it should work. You won't however get very meaningful display information flowing back from the III to the MFC. I haven't tried it, but I believe it will work.