The MIDI Thru is just a connection point to make it easier to have multiple devices connected to one place without having to recable every time you change boards. As has been stated, I absolutely HATE to spend time fooling with cables. HATE IT! I actually have a "smart" MIDI switching system that accepts up to 50 configurations that route master/slave and sends patch change information. But again, that's just how I do it.

On topic, we really need to know what you are doing. If it's simply routing, then the screen shot you got showing how to set the interface ins and outs should do it. If you want to send MIDI clock to control a sequencer or drum machine there is more to do.