MIDI to MIDI latency on Windows with Audio Hosts

JUCE 8.0.10, Windows 10, Korg Kronos keyboard

Using the JUCE Audio Plugin Host, if I just route the MIDI In to the MIDI Out directly, (and connect the Kronos back to itself with local control off), I have a huge latency between playing the keyboard and getting the notes - sounds like 100 ms or more.

I don’t quite understand this since using the MIDI keyboard to play the SineWaveSynth shows virtually no latency. With this configuration (below), there is a big delay between the note coming from the SineWaveSynth and the note issuing from the hardware.

However, it does this in Reaper too - making a single track and routing the MIDI In from the keyboard back to the keyboard (local control off) results in the same obvious latency, while playing a plugin audio instrument with the same keyboard has virtually no latency.

And yet my JUCE GUI app, which communicates directly with MIDI Inputs and Outputs, shows no MIDI latency playing from the same keyboard.

What might I do to get rid of this MIDI latency with audio hosts?

I should mention that I do not have any type of audio interface hooked up to the machine. This is what it looks like in AudioPluginHost:

I tried the other options but I don’t detect any difference.

I tried installing ASIO4all (because I read somewhere it helps with latency), but it doesn’t seem to make any difference in Reaper. And in any case, I’m not sure what this has to do with MIDI latency.

I tried smaller block sizes without effect - and anyway, that should have nothing to do with MIDI, should it?