It is not possible to simultaneously hear the playback of a MIDI track, while you are also recording on it. ( i.e.: you can't have both the "Disk" and "In" buttons enabled on the channel monitoring selections )
This limitation has been fixed for a future version, but we have not set a release date yet.
The common workaround is to create 2 different midi tracks, and use one for recording and the other for playing.
If you are using a really heavy plugin and you don't want to have 2 instances, here's the suggested way of working:
1) Create a "midi bus" and add the instrument to that bus
2) Create 2 or more "midi tracks", and connect their midi outputs to the bus's midi input
3) One (or perhaps many) of the MIDI tracks should be set to monitor "Disk" ... that's your playback track(s)
4) One of the MIDI tracks should be set to monitor "In" ... that's your recording/practice track. When you get something you like, drag it to one of the playback tracks.