I would like to see tighter integration in scenarios like this, but I don’t think it is possible with the published MIDI commands. If you do not have the “Track Embedded” setting turned on, you could try that, but if I remember correctly it does not do what you want either. When using multiple surfaces, the scene selection pointers are not linked between surfaces either. My opinion is that this behavior is tightly bound up in the system design, whether intentionally or simply as a byproduct of design choices.
In understanding how dLive works, it is helpful to remember that Mix Racks and Surfaces are each independent units that have their own set of scene memories. These components then communicate with each other, but that communication has limited scope and the units always remain independent to some degree.
As far as a MIDI command to move the scene pointer, note that you can only make a TCP MIDI connection to a Mix Rack. It then makes sense that the available commands are limited to controlling a Mix Rack. The program change message for scene recall is a bit of an exception, where the Mix Rack recalls its scene and then instructs the Surface to do the same (sometimes. If I remember correctly, when using surface roles in a multi-surface situation, MIDI scene change commands may not get passed along to surfaces).