Yes you will need to manually set KP5 for playback and load the sounds.
If you load the sounds in the same order as displayed, there should be no need to change midi channels. to make sure though, set KP5 within the Audio/MIDI menu prior to viewing it within the Score Manager.
No, you would not need to do this every time. Only once for the file you are working on. And, if you do this prior to working on a score, save the blank template file to the same folder within the Templates folder, you will not need to repeat the process with every new score which uses the same set up. You may choose to use the same or a new file name for the template.
Ted Boliske
Mac OS 10.12, 10.14, 10.15, Win7, Win10 VDL2.5.5, Finale 2010-14.5, Finale 25-27 Kontakt 4-6, various other soft synths