There are several goals one has in mind when using external MIDI devices with Logic Pro. The developers of Logic Pro have had to anticipate all of these possibilities and implement the ones that they think are most needed by their customers.
In software, like everything else in life, you can’t always get what you want.
Case 1: As a musician, I want to record MIDI tracks and use my external MIDI device as the sound source.
In this case I want to create a MIDI region that captures the way that a particular instrument is played. My timing, velocity, after-touch will vary between, say, Slow Strings vs Marimba. In this case I am concerned that I hear the sound as feedback to my playing during recording. To satisfy this case it is not necessary to route audio back into the DAW for recording the audio. Having a recorded MIDI track is enough.
Case 2: As a mixer, I want to arrange multiple MIDI tracks to play together through the appropriate MIDI device.
In this case, my goal is to arrange and edit the tracks. It is assumed that I have either multiple MIDI devices or I have a multi-instrument capable of the needed polyphony.
Case 3: As a mixer, I want to play a MIDI region through an external MIDI device and capture the audio signal for recording.
In this case I want to create audio tracks that I can then mix and modify. Once I have these audio tracks, I can then disconnect from the MIDI device, or mute the MIDI tracks, and continue the mixing work, perhaps at a different location.
Some of my posts will cover these use cases in Logic Pro.