Rewire has always been a bit flakey when it came to MIDI. You're right btw; if you start Live in rewire slave mode then all the options to assign midi devices / channels are disabled in the pref. screen. This is by design; as you guessed the normal way is to select the incoming MIDI source from the i/o section in a midi channel.
Unfortunately... Well, I've been at this too for a few times and so far have only succeeded in getting Max to act as a rewire host (so feeding MIDI into Max which in its turn fed it into a VST).
Even Reason, which is very strict when it comes to MIDI (even responds to the "openpanel" message if sent into the rewire~ object, Live just ignores that); but I had no luck with sending MIDI. Not even when done manually (message object with "midi 0 0 144 100 128").
Alas; see the patch below. It works quite nice when used in slave mode, but the other way around... note; doesn't include code for the midi part but this patch is bound to trigger Live in rewire slave mode. I'll see if I can find my test code this evening, but in the mean time hope this can give some ideas too...
Thank you so much for the reply and your patch..I have tried the patch but it didn't work also. But, I have solved my problem to develop a synth (similar as to an Ableton synth) in Max without using Ableton. Thank you again... :)