I have exactly the same problem with the same gear (not the audio interface, but Win10, Oxygen 25). No MIDI being received from the Oxy25 on my MIDI channel, but the virtual controller is received and triggers drum sounds. I have MIDI input set to All Inputs, the Oxy25 is selected as a MIDI input device in Preferences. My problem is exactly like Vasco's (it seems) - except that Input Echo doesn't seem to change anything whether on or off.
I'm going to go through all checks and steps above again, but wanted to poke this thread since my problem is so similar.
[edit]: I see reference to "midi echo" and to "input echo" in this thread; are they the same? I've double-checked everything above with no success, and I've turned Input Echo on and off, but I do not find a MIDI Echo.
[2nd edit]: well, it's working now, though I know not why. Just for the joy of abstract knowledge: while fiddling around in Preferences, I added an ACT MIDI controller from the Oxygen 25 in port and suddenly all notes and controllers started being recognized by the MIDI track. Soooooo, I'm now good, but I'm going to leave this comment here for posterity.