Ahhh, now I'm getting your issue, I had similar coniderations. I do use the midi thing for DAW use DAW+External Sequencer and just to plug it into a keyboard. I don't have that big fixed rig so play around and experiment a lot. The favorite workflow for me is:
Teenage Engineering OP-Z as sequencer -> USB -> DAW -> USB -> SOUNDCARD -> MIDI -> Midi Thing

I could either shortcut this by having the OP-Z CV addon -> with CV and Gate outs, TRS Midi out or a module that takes USB-Midi to CV.

But I like to go through the DAW first because I can record midi and audio of my sessions and replay parts for dubbing etc. The DAW also is great to remap midi in/outs on the fly. Which is a little fiddely on the OP-Z.

Cheers