What MIDI interface are you using? What is the chain? Interface to controller direct or are you doing the MIDI IN/Thru chain? THRU passes the INPUT right back OUT untouched. MIDI OUT from the keyboard/controller is for sending of locally generated instructions. Sorry if I'm repeating elementary stuff. This is for the benefit of others.
Without a signal sniffer that is checking for specific packets or say a specific channel(you'd need a second MIDI interface and MIDIOX to do this on the cheap, which is fine, it works fantastic and what I'd do myself), it's hard to say what is or isn't going on. Looping back a cable can get the same task done IF you're really paying attention, otherwise you can cause yourself a world of hurt and crash your computer FAST. Just check your routing and you're good.
First, I'd say let's trim the crap. Mute all unnecessary channels or solo the channel you need. I like plugging in a simple MIDI signal tester. It just lights to show "yeah, there's something there", but you've tested the cable so you know the hardware is good, but is your signal flowing?