I found this in a old thread here in the forum. I think I know what you are trying to do. It will do it, but I'll be darned if I can remember how each time I want to. So this has been discussed here in the past. Honestly, it should not be so trickly.

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For live playing from an external MIDI keyboard while using a VSTi synth, the ideal setup is to use ASIO drivers, and have the 'ASIO Always On' setting enabled (Opt. | Preferences | Audio). This allows you to play in real-time from a MIDI keyboard, and have the sound played by the plugin synth with very little latency.

One alternative if you're unable to use ASIO drivers, is to uncheck the option in the MIDI Driver Setup "Route MIDI Thru to MIDI Driver" and your playing will still go through the DXi synth - but there will be some latency.

BIAB – 2025, Reaper (current), i7-12700F Processor, 32GB DDR4-3200MHz RAM, 1TB WD Black NVMe SSD, 2TB WDC Blue SSD, 1TB WD Blue, 2 TB SK NVMe, 6 TB External, Motu Audio Express 6x6