this is exactly what I believe. I explain.
When I use the un-adviced connection, I manage to play the sound of my external keyboard when I use the Virtual computer of CW. In that case, the MIDI-OUT LED is lightning only when a note is transmitted from my computer to my ext. keyboard.
In the opposite, when I am trying to play a CW VST instrument, the MIDI-IN LED is always switched on, even if I don't play any note on my external keybaord. I think that the CW buffer is always full and sometimes, it manage to play a note with a kind of lag....
I've already played with all of the setup of my external yamaha keyboard, but couldn't solve yet....