I have a very similar setup, I use Syntakt as MIDI master, which just sends clock and transport to the DT MIDI in, then the DT MIDI Out to the external synth. The synth is connected the ST audio in to make use of the FX track, and the ST outputs audio to DT, which is connected to the monitors. I think your problem is using Thru rather than out, Thru is just a duplicate of whatever is arriving at MIDI in.
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