When composing anytime I touch my MIDI keyboard I want to hear a piano sound and never the sound of the last staff I was working on. I leave standalone VST player open with a piano sound loaded, use a software MIDI router to send the MIDI signal to multiple ports simultaneously (on Windows I use Bome but there are freeware MIDI routers too), then in Dorico in Preferences/Play deselect Enable MIDI Thru.
The option to select a VST for all incoming MIDI info would be a great feature so Dorico could handle this without any further hassle, but the way I’ve been doing it works fine too. This way all staves playback with their specified sounds but any MIDI input sounds like piano.