I read it more as "In the controller/surfaces" dialog, where you assign the in and out ports to each controlling device, in the case of the Edirol, leave the Out there set to none.
FWIW, I have the PCR800 and have it set up as you have yours and it works fine. It can be a little wierd since the names are pretty useless. I have definitely had times when I needed to re-set this up on a system rebuild and had to take more than one stab at getting both the keyboard midi to record as well as the ACT parts to work.
If it's hooked up right, just pressing the "Dyn Mapping" button on the PCR should bring up the ACT control panel. This should be your first indicator that it's working.