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re. Is it possible for one instrument to play the output of multiple tracks at the same time?

yes

re. what does the channel setting do?

it assigns a channel number to a track; when recording, only the incoming events on that exact channel will get recorded to that track; when in Omni mode, it means that any channel number will do; on playback, events are always played on the exact track's channel number, no matter what their original recorded channel was.

now, at this time you'll need to know that there's this Track > Auto Monitor setting that makes all incoming events automagically translated to the channel of the current highlighted track; this is just a convenience set for most midi keyboards that play on one single channel and players that wish to record or play live on one single track at a time; maybe it's not your case?

if your keyboard is configured to send events over several midi channels at once, then this Auto Monitor setting is simply foul play, as all input events will get aliased to the same channel number, the one of the current track, and that is probably the root of some if not all of your troubles---turn it off then.

one other thing, do you have ANY of "monitor" buttons turned on? please don't, ever or a least not yet; turn them all off, please.
having any of these on will make all incoming events pass-through to output and quite possibly get feedback to the midi-keyboard midi-in, if connected that way, which I think you do since you said you "don't understand why [I] feel it strange that damper pedal events need to "feedback" into the keyboard"; could it be the root of all bad things that happen in your case? idk. you tell me :)

on a similar don't do it vein, do you have your computer's midi-in (incoming from the keyboard's own midi-out) connected directly to the device's midi-out (outgoing to the keyboard's midi-in)? can you show us the whole picture of your audio/midi connections? if you're using qjackctl, a screenshot of the Graph will do.

one last thing, can you monitor all the midi input of your usb-midi interface device (midiman or else) ? use aseqdump to the rescue, please.

hth.
seeya