Generally, allegro was not intended to mix bitmaps of different color depths at all. That said:
To use a palette from a datafile, you have to cast the dat member of the corresponding datafile record to a PALETTE (or an RGB*). You can pass that to set_palette() like so:

DATAFILE* dat;

load_datafile(dat, "data.dat");
set_palette((RGB*)dat[PALETTE_PCX].dat);

Assuming that PALETTE_PCX is defined in the (properly included) datafile header and that the corresponding datafile entry is in fact a palette.

If you are in a >8bpp mode, then you need to set the proper color conversion. The easiest (and least error prone) procedure is this:
1) set_color_conversion(COLORCONV_TOTAL | COLORCONV_KEEP_TRANS);
2) Use load_datafile_object() to temporarily load the palette from the datafile
3) set the palette
4) load_datafile() the entire datafile; color conversion takes care of the palette and everything else for you. The resulting bitmaps will be in the current color depth

Alternatively, you can:
1) disable color conversion
2) load the datafile in one go
3) find the palette in the datafile and set it
4) enable color conversion
Note that only a few functions support color conversions (blit() and to some extent draw_sprite() do), while others will just assume equal color depths (stretch_blit() etc.) for performance reasons.