I had fits with external gear too…program changes were filtered for lord knows what reasons?!?
I could get the PC events to work with VST plugins (Sonic, HALion, Bidule, etc.) with no issues, but not over physical MIDI ports (In my case a FANTOM-X Roland USB<>MIDI driver).
Now I’m using pre-release 2.2.31.353, and things are much better!
Here’s a link on my eventual solution…
Note, I elected to ‘start clean’ (Very new to the program, haven’t built many sets, so not much to lose…I wiped all my old project tests and started over), but you could give it a try without going to that extreme first and see if it helps…
Why are Program Changes filtered? - VST Live - Steinberg Forums