What if you try with the Steinberg Built-in ASIO Driver (in both, Dorico and Pianoteq)?
Also, try to start Pianoteq prior to Dorico in order that Dorico does not occupy all MIDI In ports.
I did not test with Pianoteq, but with the HALion Sonic stand alone app and Dorico, and that did work for me.
On the other hand, you could also have everything running just in Dorico. You go to Play mode and there highlight the Piano, then all MIDI input data shall go to the corresponding slot in HALion Sonic and you can play along with the playback from Dorico.