I have a similar setup and works OK. I'm assuming you are using the external synth as a sound module and not the VST/DXi synth.
Some ideas...

- BIAB Midi driver setup. Both Midi In/Out are set to my external synth (USB Audio in my case). Choose your synth from the dropdown at the right and uncheck 'Use VST/DXi'

- Local On in the external synth is set to OFF

- Check your Thru patch for the song using 'Save Song with Patches and Harmony'. Make sure the box is checked.

- Try some different instruments (if you haven't already)

Rachael