Yes. There’s at least one thread here, but it’s mainly for a loopback Song Mode (by sending PC messages). Loopop has a bunch of Digitakt tricks (16 advanced Digitakt ideas, tips and tricks - YouTube) including polyphony, which @DaveMech does in more depth on his channel (Digitakt + RK-002 POLYPHONIC synthesizer - YouTube and others).
I’ve done videos on using loopback to do FX scenes with the Digitakt ( Digitakt Custom FX Scenes Method (presets, dynamic fx, chorus, freeze delay, looper) - YouTube) and performance macros on the Digitone and Syntakt (Unlocking Syntakt's Performance Macros (Digitone's too) - YouTube). I also did a thing for capturing perfect loops from external gear on the Digitakt using loopback + song mode, but I’ve since figured out a better way (using just 2 midi channels), will post on that when I have time.
Yes, Thru functions as Out with loopback, and my Keystep 37’s Thru functionality lets it complete a loop with a controller included (selecting an unused channel for Keystep midi in).
Save your work, turn off any unnecessary settings in the Midi Sync menu, and make sure not to cross the streams (send a channel to itself) and you’ll be fine.