The problematic setup (instrument track with linked aux channel) is the setup proposed by Presonus for external synths as it is the most convenient. If it works, an external synth can be treated like a software synth. In a way, it is a slightly different approach to the external instrument integration of other DAWs which typically provide a dedicated plugin to integrate external instruments (like i.e. Cubase, Live, Logic and Bitwig).
If a normal (audio) stereo channel is used, you end up with two tracks: One for midi, one for audio. This setup does work (as I mentioned a few posts before) - but it is not so convenient to use, especially if you use multiple synths with multiple patches in a song.
There are even other workarounds to get this working. But: I don't want to use workarounds or change my workflow just to make it work in this or that setup. I use Studio One because of its brilliant workflow. But with external instruments, the Studio One workflow simply is not brilliant compared to other DAWs. Let alone the missing implementation of sysex messages or 14-bit MIDI controller values.
Love it or leave it...