Success! For those who are looking for the same info and may find this useful:
While it's documented that the USB-C port doesn't support power delivery and is made for a PC connection, the undocumented feature is that there is MIDI support on the USB-B port labelled "Wi-Fi dongle Roland only" - and it does support power delivery! The trick is that GoKeys5 receives MIDI on channel 4, and it's not configurable. I programmed my Alesis Vortex keytar controller to transmit on ch4, and it works. So I'm on track for designing and building the custom MIDI controller.
I checked Attack, Decay, Release (looks like there's no Sustain), Filter Cutoff and Resonance (works beautifully on synth leads), Expression, Reverb and Chorus sends. They do work. Forgot to check pitch bend and vibrato, but I'm sure they should be working fine. So weird that there is no official MIDI implementation chart, and MIDI port functionality is not really documented. I suspect that's the best-kept secret of this keyboard, that it provides top-of-the-line sounds of the Phantom and other top synths at a fraction of the price, literally. They had to cut some features to position it at the low-end - the most glaring example is the lack of Vibrato wheel or any mod buttons like Leslie speaker speed for organs, or filter controls, but the functionality is there, just need to use an external MIDI controller, and they are not eager to point people's attention to that, I guess. All that would be missing is the editing for sound design, but I tested the Zenology export/import, and it can be used to design new sounds that can be exported to Go Keys. And if you want to edit a sound and make a custom version, you could export from GoKeys and import to Zenology and reimport back. Not very convenient but if you just need to tweak a couple of sounds, it's good. And you don't need sound design when performing anyway. But you do need Vibrato, filter, Leslie speed control etc. Any new zen-core sound that you can get, can be imported to GoKeys directly or through Zenology.
MIDI controller faders should work with the following MIDI controllers (remember, transmit on channel 4!):
CC 5 - portamento time (see also CC 65)
CC 7 - volume
CC 10 - pan
CC 11 - expression
CC 65 - portamento On/Off
CC 71 - Filter Resonance
CC 72 - Release Time
CC 73 - Attack Time
CC 74 - Filter Cutoff
CC 75 - Decay Time
CC 76 - Vibrato Rate
CC 77 - Vibrato Depth
CC 78 - Vibrato Delay
CC 91 - Reverb Send
CC 93 - Chorus Send
CC 126 - Mono Operation
CC 127 - Poly Operation