Unfortunately yes. Very little is actually passed through the Keystep Pro, including sysex messages. Hopefully this will change in the future, when it is stated that soft through will be implemented, in a later firmware update.
I would write to support and let them know your concerns. They are pretty good about this sort of thing and will add it to the to-do list, for the developers. if you don't share your opinion, they won't know how important it is and therefore, it won't be implemented.