Just set up both slots to respond to a different MIDI channel (you probably need to activate bi-timbral mode for that), i.e. set slot A to channel 2 and slot B to channel 3 (or something). This leaves channel 1 for the global channel.
Ableton will have no idea it is sending MIDI data to two parts of the same synth and this is okay, but there are some gotchas. One has to do with program changes: when you start playing a MIDI clip, if configured Ableton sends a program change MIDI message to the synth and by default the Wave is set up to respond to that (can be disabled). If you see the program on the Wave changing when you don't expect it to, this is probably what is happening.
I'm not completely sure about this, but I think you need to send the program change MIDI message to the global channel, which means that if you want to use two different 'instruments', they need to be in the same program (since you can copy slots between programs, that is easy to fix). This would also mean sending a program change message to either slot A/B has no effect. Since I don't have a Wave anymore, I can't test this myself.
Ableton cannot normally have audio and MIDI in the same track. The simplest way to set up your Wave with Ableton would be to create three tracks, one audio and two MIDI. The audio track would take its audio from the audio interface the Wave is connected to, the first MIDI track would be configured to send to slot A and the second MIDI track would send to slot B. If either slot A or slot B plays notes, the sound will enter Ableton via the audio track. This is a bit weird: you send via the MIDI track and receive via the audio track.
There is a better and more logical way to use external MIDI instruments: create a MIDI track and add the 'External Instrument' device from the Instruments section (you can only add this to a MIDI track). If you look carefully, the 'MIDI To' field below the clips will change to 'Audio To' - this device gives you a way to use an external MIDI instrument in a way that is very similar to a softsynth. If you go to the settings of this device, you can change 'MIDI To' (this is where it went) and 'Audio From' (select the right channels on your audio interface, just like when using an audio channel). You also get an additional 'Hardware Latency' field; this allows you to compensate for latency introduced by the MIDI interface and the device itself. More on latency below.
In this case using the 'External Instrument' device might not be the best choice, because the Wave always mixes the output of slots A and B on a single (stereo output). If you were to use the 'External Instrument' device and would set the 'Audio From' field to the same setting on both, it would appear as if both slot A and B are producing sound when only slot B is played; it implies both slots have their own dedicated audio outputs, which is not the case on the wave (but you can do it like that on a Stage or Lead). I think that with the Wave it makes more sense to do it the 'traditional' way, so create an audio track (call it Wave-Output) and two MIDI tracks (Wave-A and Wave-B). I think this more closely resembles what is going on at the hardware level (= both slots are mixed on the single stereo output). You could group the tracks I suppose and for browny points you could include the global channel in its own MIDI track, purely for changing programs - it would have empty MIDI clips, but with a program change configured.
As for latency: Ableton automatically compensates for latency of the audio interface. The driver of your audio interface reports the latency to Ableton and if it does this accurately enough, Ableton will compensate for it. If your driver gives Ableton incorrect values, you can correct this by changing the 'Driver Error Compensation' value in the Audio section of the Ableton settings. Ableton however has no idea how much latency your MIDI interface (and sometimes the device itself) adds; softsynths have latency too, but Ableton does correct for this (probably because they report it to Ableton). If this additional latency is low (say less than 5 ms) you might not notice it, but I think that differs from person to person; a drummer might hear this sooner than a keyboard player (just guessing here
). You can add additional latency (I think you can use negative numbers too). Latency can be added either as a specified number of samples or a specified time (fractions if a millisecond) - this goes for both audio interface and hardware (MIDI) latency.
Latency added by an audio interface (but also external equipment such as a hardware reverb unit) is fairly constant, but I've noticed it can be all over the place for MIDI interfaces connected via USB. My Roland (Cakewalk) UM-3G MIDI interface is very accurate, but my old M-Audio interface wasn't very accurate and the MIDI-via-USB functionality of my Stage 2 was even worse; if you want really tight and solid MIDI timing, use a good MIDI interface and send it via the MIDI in port of you Nord, not via the USB interface.
Let me know if this answers your questions/helps you. Please also let me know if you have no idea what I'm babbling on about
. It might be interesting to turn this into something of a general howto for connecting Nord instruments to Ableton live.