I’ve seen this demonstrated in official Dorico YouTube videos, can’t get it to work in the latest version of Dorico? (Is it no longer implemented?)
Video from Dorico team is here: MIDI Imports, Multiple Monitors and Setting Shortcuts for your Needs | Discover Dorico - YouTube
Yeah atm moment it’s not available anymore. Reason is the complete redesign of the play mode. But the team is working on bring all features from previous versions back 
And this feature will also come back again
But for now there is a great midi import in D4. That would be a solution for now