Correct.
I first arm tracks for recording in Cubase and tap the record button in Cubase (which does nothing but light up and wait for time code to start coming in), then just hit ‘play’ in Dorico.
I use 3 screens, so it’s not a big deal for me. It kinda makes sense to me that whatever I want to record in Cubase…I’d need to arm and set things there precisely as desired first.
Don’t forget that you can also export a master track from Dorico to import into the DAW project as well. While it’s not what you want your DAW using to drive the transport, It may well come in handy to get your DAW’s visual grid and all set up in a way that’s pretty close to what Dorico is playing.