Render In Place Issue

I have an Instrument track containing some midi note data and a separate midi track contain some midi modulation data.

They are both set to the same midi channel.

When I play it back the modulation track affects the audio on the Instrument track, as expected.

However, when I try to R.I.P. the resultant rendered audio track does not contain the modulation - it just contains the ‘dry’ audio.

My Render settings are: ‘As one event’ and ‘Complete signal path’

Is this a bug or am I doing something wrong?