Okay so I am using the above audio routing in Digitakt and it works great because no external controller is required for grid recording.
But with the DN I would very much like to record directly in DN, and change the trigs manually by hand.
When Ableton is not in the equation, I use this setting and am pretty happy with it
DT OUT -> KS IN -> KS OUT (MIDI THRU) -> DN IN
So I am willing to find a solution when using OB for both devices with the Keystep. It is no big deal as I can just record directly into Abletonās corresponding audio tracks but having the option to change certain trigs manually can help. Hope this helps.