I've replicated your steps using Pocket MIDI. It appears that sending CC #32 (select setlist) by itself does nothing, you must immediately follow it with a PC (0-127) to select the preset within the desired setlist. What are you expecting to happen when you send CC #32 without a corresponding PC?
I've only had my Helix for about 6 weeks, but I've found this to be a valuable guide when setting up MIDI:
https://www.thegearpage.net/board/index.php?threads/the-unofficial-helix-midi-guide.1954544/