the "all notes off" (cc 123) as you suggested will come into effect by pressing stop when the sequencer is both stopped and master. Watch the space.
Also, anyone pros/cons/preferences for an "all controllers off" (cc 121) tirade to go with that?
The legato thing is more involved.
Especially when you say you want two or more steps with no note off or on in-between them. Problem is, in MIDI a note is defined by at least its note on message – so by that token you would have no way to trigger later notes – well, unless you were pitch bending, I guess.
That may get messy and unprecise (since pitch bend interpretation on the synth is adjustable and not hard-defined), but maybe that’s the way to go?