It's all explained in the Overbridge manual. Take a look at the diagram on page 17. You can see using the Main audio Overbridge Output basically sends the audio from your DAW directly to the Analog 4/Keys outs - see point  in the diagram. I'm not sure why anyone would want this aside from using the A4/K as a sound output device? It sounds like this is what you're currently doing and why the sounds is unprocessed.
Instead, if you look at Track 1/2/3/4's outputs in the diagram  then they join the signal chain at the start, before the filter and distortion. So switch on Track 1's Outputs in Overbridge App and choose that inside the sidechain section in the A4/Keys VST.
The reason why there are so many sidechain destinations should be self-explanatory.