The individual IAs won't change to reflect the group switch, but they could be Axe-FX mode IAs to show the initial state. For that to work nicely you might have to disable the group switch from sending anything at preset change. (I'm not entirely sure if that's possible.)
Here's how to enter a CC as custom data:
One CC command takes 3 bytes (pairs of characters in hex), so you can add up to 5 per IA. If you're not familiar with hex (base 16), or even if you are, the standard Windows (and OS X, probably) calculators will let you enter a decimal value then switch to see the hex value. 0-127 in decimal (as CC#s/values appear in any other MFC or Axe menus) becomes 00-7F in hex.
Format is like this:
Bn cc vv
B = Indicates this is a CC message.
n = Channel minus 1. So for a controller message on channel 1 the first byte would be B0. For channel 2 you'd put B1, etc.
cc = CC#. For example, the default CC# for Delay 1 Bypass (47 in decimal) is 2F in hex.
vv = value. 0 and 127 decimal translate to 00 and 7F in hex. There normally wouldn't be a reason to use any other values here.
So to get a Delay 1 on message on channel 1:
B0 2F 7F
The bypass message would be:
B0 2F 00
Remember you have to enter both the "on" and "off" data to make it toggle the effect. Once you know the channel and memorize 00/7F for off/on you really only have to think about the 2nd byte (CC#) when setting this up. For another CC just add it as the 4th-6th hex bytes, etc.