I was trying this for weeks and couldn't find anything on the board that told me explicitly what to do (neither does the manual - come on, guys!). This will helpfully save some people a lot of faffing about:
1. Select your MMV as a send or insert effect (either will work) - if you don't see it listed you've probably installed the plugin in the wrong folder
2. "Edit" your effect - the MMV should pop up within your VST host
3. Pick a basic patch so you can hear what's going on (although you won't hear anything at this stage)
4. Instead of sending your VCO into the filters, connect the Ext Left or Right connection (above the keyboard)
5. Then, and this is the bit I missed for the longest time, set whatever envelope module is dealing with the output to be triggered by Keyboard On (right-click the "In" that's circled in red and choose it from the options)
6. Click a key on the MMV's keyboard - your MIDI controller won't do it
Now, whatever track you've applied the MMV effect to should be going through it - lush!
Note that by this method you'll have to click a MMV key every time you reopen VST, so there's probably a better trigger than "Keyboard On". I just discovered something that worked and disappeared into an orgy of beautiful sounds before I could experiment some more.
Anyway, hope that helps someone.
By the way, the ARP and MiniMg were no problem to set up as effects after looking around here, so thanks to the other posters for opening up those doors.
Cheers,
cptn