Let’s clarify your situation.
1st route = MIDI from Nord comes to VST Live, Layer1 is receiving and it has Halion as target. The Halion as a virtual instrument has it’s Audio Out and is routed to Stereo Out of VST Live. I hope there is no questions why it’s so 
Nord MIDI → Layer1 → Halion (audio)-> Stero Out
2nd route = MIDI from RD-88 comes to VST Live, Layer2 is receiving and it has MIDI Out as target, so received MIDI goes back to RD-88. There is no need to do that unless you use some transformation of MIDI data. Okay, it’s by you.
RD-88 MIDI → Layer2 → RD-88 MIDI
or
RD-88 MIDI → MIDI Track for Layer2 → Layer2 → RD-88 MIDI
So from this you see that in second case there is nothing about an audio signal, therefore there is no place to put Mixer stripe. But as the only audio device, you have Stereo Out stripe for RD-88. I would recommend to add serious audio device for your non-easy tasks.
Of course! Because that third routing parameter is Audio Out of the Layer. If you use Layer just to receive MIDI and send MIDI and maybe transform MIDI inside Layer and/or use MIDI Track to record and play MIDI, also then there is nothing that can be managed in the Mixer as an Audio channel. In case of use MIDI Track attached to the Layer (with R button or routing it), you only have MIDI strip in Mixer.
Additionally, maybe your RD-88 theoretically can be splitted in two - synth and audio device? In this case there could be a parameter on board that disconnects both. I just guessing.
Just try - add a Stack that will receive audio signal from RD-88. Stacks are only Audio, so by default you have Stereo Out on the out, but can be changed to any other audio bus (group).
RD-88 Audio → Stack1 (also an audio strip in Mixer) → Stereo Out
So I will wonder if it works, because in your setup this could create an infinite loop. Therefore before try this, remove headphones from head and/or lower volume on amplifier.
Tell us the progress. I would like to know is the RD-88 capable to do two different tasks - be a synth for virtual playback and audio device simultaneously but without soldered connection.
I asked a little help from AI and it told this:
This dual capability is enabled by installing the Roland USB driver and setting the RD-88 to Vendor mode, which unlocks full MIDI and audio integration over a single USB cable.