Have you double checked your MIDI driver selection?

It's possible to have MIDIMapper selected instead of your true device.
If so, it is possible that MIDI is being sent to Windows first, and Windows is in turn routing it to the device output. If so YMMV .. a lot

Your device name may be different than my 'yes' device below, the point is make sure MIDIMapper isn't involved for external gear unless necessary.

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