By the software, do you mean the MIDI Control Center? If so, while it's not required to configure and operate the KeyLab, it's certainly a useful alternative approach.
If I press Edit, then the CC button, it brings up the CC for the last parameter I touched. I can scroll thru parameters with a knob, and use another to change the value. It's very possible to change the CC value of any pot or fader this way.
My last controller was an Axiom 61, which had fantastic keys but pretty crappy controllers, and editing the config was a huge pain w/o software. The KeyLab, once I got used to it, has proven to be much easier to tweak on the fly, and generally a lot more intuitive.
As far as your connection method...this was using a different synthesizer, but on my rig, I tested USB vs 5-pin DIN MIDI connections...and while there's slightly more jitter with the USB, it's got a faster response time than the 5-pin. And while playing ideas in, that's the crucial thing; I hate latency. Your mileage may vary, and mine might too, but I think it's a good idea to stay openminded about USB MIDI, which seems artificial but in a way is more efficient as it bypasses the PCI card. Plus, that saves your DIN port for if you get a hardware synth and want to directly control it with the KeyLab.