OK, sounds like you understand how MIDI In and MIDI Out are routed.
Yes, GS Wavetable synth will have a huge delay. It will default to 2 seconds (2000mS) usually.
This can be adjusted in the Audio Output Buffer setting in the Prefs Audio settings tab. It is not the best solution though. This affects other things and system stability (possibly).

The Coyote should work the same (using the same sounds) and have a bit less delay .. and you should be able to at least hear it. <grin>

What selections do you have available in the Default Synth drop down?
Is Coyote WT available?
Yet when you select it, you can't hear it?

I do not work here, but the benefits are still awesome
Make your sound your own!