I don't know of a way around having that "Preset Recall State" option affect each preset using PC messages, since you only have the choice of "Engage" or "Disengage" and no "Retain Current State" (though to be fair I haven't been able to try it until the new MIDI box arrives!)
I think the problem with that is the "Preset Recall State" option that is part of every preset, which with PC messages (I believe) will override the current state of your pedal with whatever you have selected for that particular preset (the same way that the current CC combination "patch-change + engage state" messages do).
There may be some more simple option I'm not seeing to get around this (though that setting being on a per-patch basis makes it hard to see other options), but with the Morningstar controllers you can set different messages for different types of taps so it would be possible to program one press action of a button to move presets while engaging the pedal and a separate press action to move presets while disengaging using the current CC messages (or you could program both of these messages to separate footswitches). There are also incremental preset-change CCs that you can custom map, but I assume these also revert to the "Preset Recall State" saved in each preset. Not ideal, but I don't see a CC map option or other pedal setting to override that "Preset Recall State" option.
In other words, I don't see a way that the new MIDI box will improve your situation here as PC messages will just default to the engage state selected within the preset (so even less flexible than the CC options)