What is the DXi synth being used then?

That's a pretty old version, hard to remember what that had/didn't have for options.
Tell us what is selected in the synth options (midi devices etc) and what options are available.

I'm pretty sure the 'Lead-in drum count if drums muted/disabled' and those options are for session use, in other words when you record it automatically gives the lead count in before playing, but this is not part of the actual saved song that gets rendered.

Quick dirty fix is to insert the four clicks into the beginning manually as MIDI events so they are part of the song file itself. A simple sidestick (Db3) inserted on 1-2-3-4 and on channel 10 would likely do it.

I do not work here, but the benefits are still awesome
Make your sound your own!