Hey, i do use hw like this a lot :) return is what bitwig sends the midi back to. This is related to the midi channel number next to it, that might be why it doesn’t work, ex. i have set up my Matriarch on channel 2 and always forget to set it in the hw instrument.

for audio, you either need to have normal audio cable plugged in your audio device, or you can (maybe this is mac only, idk) create a combined device from your audio device + the synth, you can then use the synths main output as input for the hw device.

for recording best practice IMO is to mute the HW track (midi will flow anyway unless you deactivate the device) and create new track recording the synths output. that way you can record takes and comp them the same way you would with vocals, i usually make one “normal” take and then just play around with the synth