If you use MIDI clips, it is very easy to have visual feedback, it is complicated to have visual feedback when you want to see what is recorded on the machines in real time and at the same time be able to record new notes on them. Anyway, in my setup is all working perfectly.
Basically you need that all your gears reach Ableton, and that Ableton reaches all your gear.
You could need two boxes, a splitter and a merger. Then connect all your gear to a Merger then into Ableton, and from Ableton to a Splitter then to all your gear. Choose wiselly your MIDI channels, and choose carefully MIDI Ins and OUTs on Ableton MIDI’s Tracks to avoid feedback.
And don’t forget to deactivate the Thru option on your MIDI interface if there is one.