Firstly, it may sound too elementally but are you sure that you are sending MIDI notes to the MIDI device set in the external instrument, not to the physical port?
Say you have an analogue synth connected to a/d input 1 of your i/f, and midi is connected to a usb midi port, you set these up as an external instrument in the F4 menu. In order to do so you have to create a “MIDI Device” and set the usb midi port to the midi device.
Even after you’ve created the midi device uses the USB port 1, the same usb midi port can still be seen for destination of any MIDI track, sending notes to this port will play the synth then audio returns to the external instrument track.
If you use the synth this way, the problem like you’ve described here can happen.
If this is not the case, then you must be sending the external instrument to master, group or fx bus that has buffered plugin inserted. This indeed needs CDC switch to be enabled as @Nico5 says.
If you already have a mix balance with buffered plugins on master, make sure to avoid sending the synth to such path. Move the master effects to a group and route everything else to the group instead, and monitor the synth through clean master.
If only steinberg implement a time machine function to send your keyboard play to future by just 30ms, you can use any buffered plugin in realtime, I had been asking such feature for ages but sadly they haven’t made one yet. So good luck using the workaround.