That is using CS midi and a loopback midi cable.
But, yes, a Control Switch can send a midi payload such as a CC out of the midi out which can be looped back to the midi in with a midi cable. And that can change channels... Or whatever else you can control via midi.
The setup panel lives in the FC Controllers/Onboard Switches in the FM9. You have four commands you can send, so plan carefully. Would be nice to have more, but this many gives a fair number of possibilities.... Make sure you have MIDI Thru switched off if on one of the FM units, as the MIDI loop will take your FM and turn it into an unresponsive blinking mess.
The most common thing to want to switch together would probably be amp and cab, so you might use the same CC # for both of those in MIDI/Remote -> Channel for each amp/cab pair, then make sure to use Amp1 with Cab1 and Amp2 with Cab2.
I was using this to send CS stuff between units when I was running FM9 -> FX3 previously, and with careful choice of CC numbers on these and the ones in the FX3, was able to get the benefit of both sets of CS on both units for a total of 12 CS, which was cool. Since the channel setting thing responds to MIDI, you could even use an external MIDI CC switch provided by something like the Expression IO and a footswitch box. Downside is that it doesn't provide a nice on/off status LED thingie like a CS does (assuming you are not using a stand-in switch off the board for the CS).
If you don't need instant stomp-switch access to the channel switching, and you want to integrate this concept with Scenes, the MIDI Block is your friend. It can send 8 commands at once upon scene change, which is double what the CS MIDI can be set up for, and it is available for edit in *-Edit rather than having to get down low and poke it into the front panel. I feel a wish coming on for the -Edit to include this setup panel and the Bypass panel next to it in the -Edit proggy as tabs in the Setup button's panel.
One thing to note is that you only get to see the 8 commands for the Scene that is currently active, so you have to switch scenes to see what's on each Scene's menu of commands to send.
In theory, using the MIDI block this way would only really be useful as a way of overriding the Scene Ignore in certain circumstances where you've landed on a channel with Scene Ignore set on and you want one particular Scene (or a number of particular Scenes) to be able to get the channel's attention....