I second the suggestion for a Kenton MIDI USB Host. Another possible solution might be one of the iConnectivity MIDI interfaces, but you'd need to be sure to get one that can act as a USB host. I currently have my PSR-E keyboards connected to a computer, which lets me route MIDI data between various MIDI controllers and my keyboards, but I'm on the verge of getting a Kenton MIDI USB Host and/or one of the iConnectivity interfaces.
Once you've got your PSR-EW400 and DD12 connected together properly, I think you should be able to use the DD12 to trigger sounds on the PSR-EW400.
As for your third question, I think the simplest solution would be to start the MIDI song file playback from the PSR-EW400 itself. Although the PSR-EW400 recognizes the MIDI "Start" and "Stop" messages, there's no way to remotely select which MIDI song file you want to play next, so you're going to have to select it from the keyboard anyway. However, once you've selected the desired song from the USB drive, it might be possible to start the playback remotely by sending the "Start" message ($FA) to the PSR-EW400.
By the way, the easiest way to navigate through the list of songs would be to prepare the USB thumb drive ahead of time such that the song files are named something like "SONG0001.MID," "SONG0002.MID," "SONG0003.MID," etc., with the names reflecting the order you want to play the songs in, so all you need to do is press the "plus" button while the keyboard is in SONG mode to advance to the next song in your set list. Or if you prefer more descriptive file names, just add numbers in front of the song names, such as "01PaperbackWriter.MID," "02YellowSubmarine.MID," etc., so they'll be sorted in the desired order.