The RMX won't sample the audio that is being input. The only time it does this is when you use a Roll.
As soon as you switch banks, only the samples in the currently selected bank will play.
You should view Overdub more of a playback utility than a recording utility. When you are using it, you are not recording audio, you are just telling it what samples to play.
What I REALLY want to see, is the ability to turn off Overdub, but have your sample pattern continue to play. Allowing you to 'fill' a pattern ad-hoc with samples, or the X-Pad, without actually adding them to the Overdubbed pattern.