Ensure that the controller is transmitting on the midi thru channel (which presumably it is, if you can hear while transport is on.) On the midi driver screen, make sure "Route MIDI Thru to Midi Driver" is unchecked. If that doesn't work, click on Audio Settings. Hopefully ASIO is enabled. If not, choose it if possible. Then click on Audio Drivers and enable "ASIO Always On."

If still stuck, report back with driver info. Good luck.

Happy Thanksgiving to those who celebrate.

-Ron