From Tech support:
The Thru channel is used to hear playback when entering notes, using the Chord Builder, or playing in the Ear Training dialog.
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.
...............
Here is the last paragraph from the "what's new in 2017" blurb (also in the help file):
"MME Output always on" option has been added. This allows you to use VST or Canyon GM DXi at all times, so MIDI can be routed and heard using these Plugins when the program is stopped.Are these two statements mutually consistent? I don't think so - "all times" should mean all times. (And notice support doesn't even mention a hardware synth, which was the raison d'etre for Midi Thru in the original Midi spec.) Besides, in 2016, with "ASIO always on" enabled and the FocusRite ASIO driver, I was able to "play" the TTS-1 softsynth on the Thru channel without the transport engine running.
But that function has been flaky through the years. About time to clean it up IMHO. Latency is one thing - we've each gotta deal with that based on our hardware. Smooth
functionality is something else...
EDIT - BTW what is "Canyon GM DXi"...?