After poring over this site, other sites, using keyword searches (hence, the title) and pulling my hair out - I finally solved the mystery of "just playing my darn A-800 to an external synth/module!"
 
I need power from the PC USB for the a-800 , don't want to use Sonar just now - just control the synth from the A-800!
 
Here ya go:
From page 66 of the A-300 PRO / A-500 PRO / A-800 PRO manual [PDF]:
 
1) Simultaneously press the [ACT] button and the [<] button
2) Use the [VALUE] knob to select "MIDI SETTING," and press the [ENTER] button
3) Use the [VALUE] knob to specify the MIDI I/F setting
 
The following needs to be added in BOLD print, somewhere on this page:
 
** The "default" is ON. Turn it OFF and press [ENTER], if all that is desired is to control an external synth/module **
 
You're welcome! ;)
 
 

You can also get an external AC power adaptor for the A Pro Series, its the same as the power adaptor for the V Studio 100.  It is the PSB-1U.  Amazon has it for around $10.