When your instrument is being used with your computer, being mindful of the MIDI routing in your computer will achieve the best results. It is generally recommended to set the MIDI input and MIDI output of your instrument to separate channels to avoid MIDI feedback (e.g. MIDI output on the instrument is set to channel 1, MIDI input on the instrument is set to channel 2).
You will need to reflect these changes in your DAW as well (e.g. MIDI input on your MIDI track is set to channel 1, MIDI output from your MIDI track is set to channel 2).
The easiest way around this is to turn off local control on the instrument. This will mitigate MIDI feedback and allow the instrument to be controlled completely through your DAW without any interference from the instrument itself.