If you think of the trigs as a midi keyboard sending note data when pressed, and the sequencer as software which records notes and control events, it makes more sense. The tracks (numbered) which are represented on the trigs are part of the software side and when you engage step record/live record they input sequencer events into the software.
Meanwhile, when the software is not recording sequencer events, the trigs themselves then do generate note data as a midi keyboard would and that is then sent externally (if enabled in the settings menu), however, the ability to write notes into the software (sequencer) and the ability to send them externally is dependent on what the software is capable of, and in this case it is not capable of writing midi data to the audio tracks or turning the midi tracks into additional audio tracks.
It’s a limitation of the device and software, but it’s by design. I don’t think midi loopback will fix this as I still don’t think you can achieve outbound midi data coming from the first 8 tracks, unless I’m misunderstanding what you actually want to do.
Midi loopback is using the tracks 9-16 to control internal events whether it be sequencing of notes or cc etc, but it’s controlling the internal audio track parameters with it’s own midi out, hence the loopback.