Stumbled upon this thread while searching how to forward the MIDI notes received via USB to the MIDI Out port. I think it's really, really annoying this isn't possible. I travel a lot with my gear and am always on the lookout for ways to carry less kit around.
Elektron advertises the Soundcard functionality prominently on the Heat product page, so they do intend to sell it as such. Every soundcard I ever used had MIDI In & Out functionality over USB. While they don't explicitly advertise the MIDI functionality as a core feature, it is not clear from the manual nor the product website that you CAN'T use the unit as a USB MIDI port to send MIDI Notes to other devices.
However, it seems MIDI Clock is forwarded (which is a good thing). But that means Elektron decided to filter out MIDI note information from the USB to MIDI outputs. This means it is a conscious decision to make their machine less functional!