From Tech support:
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For the Thru channel to be activated, you need to use the Microsoft GS Wavetable as your MIDI output device and have the CoyoteWT enabled as your DXi synth.
You also need to be using MME Audio drivers, as ASIO drivers won't work with the GSWavetable synth.
When I did this about 4 years ago, the latency was so long it was unusable, so I got instructions from support on how to change to using ASIO drivers instead of MME. I tried it again to confirm the problem- I would say this configuration is not usable because of the latency.