I use cakewalk on Win10 so maybe it is the dumbed down version but the way I've done it my entire life is to always have local off on everything. Don't think I've ever had to switch local on for any synth ever.

All midi from every keyboard goes into cakewalk. All synths are set to receive midi omni from everywhere. So if I am "jamming" on a synth... local is off, and I'm essentially controlling the synth through cakewalk, i.e. all midi is going in to cakewalk, then back out to the synth I'm playing to trigger it. No noticeable latency. I can trigger any synth from any other synth. Oh but the synth audio is not going into the DAW, all audio goes through external mixers first then back into the DAW as needed.

For arps and whatnot I used to have them all sync to the DAW via midi but I've gotten lazy over the years and I tend to print 90% of everything I do as audio in the end, so more often these days if I'm fiddling with a cool arp or sequence I just hit a button to bounce it as audio in real time, which is fun because I can then do a synth performance tweaking knobs as it records. Yes, not very flexible you are stuck with the performance(s). But I'll save the patch and make a few notes about what I did in the DAW and if I ever have to redo it at some point... well that's kind of fun, too.