In Live 9.6.1 and later, due an internal change in Live, MXT-Live itself will no longer automatically select devices when navigating between tracks. However, you may not notice this issue if you're using other control surfaces. If you are experiencing this issue, there are two ways to solve it:
The automatic way: In Live's Preferences, on the MIDI/Link tab, select MPD18 as a Control Surface. Leave its Input/Output set to None.
The manual way: After navigating to a new track, use the device navigation controls available in Device Mode to select a device on the new track.