It should do that with the Send midi through to DAW allows preview through a Virtual Instrument.
I thought you could click select the track to send, ctrl click for more, or have a solo button on each vst track.

With the key signatures you need to import a tempo map from the DAW into the VST or from the VST to the DAW.
With Reaper the VST can get that info with the Reaper's APIs GetTempoTimeSigMarker and can send the map from the vst to the DAW with SetTempoTimeSigMarker
It could also insert the chord names into Reaper's regions or markers and set them to verse chorus color, or copy the chords from Reaper into the VST.