I finally got it to work using send channels as described here: http://blog.dubspot.com/how-to-route-ex ... o-effects/
Though I don't think it makes a difference using that method vs the External Audio device.
I now send the signal out via my left monitor-out (no real reason to use the left one, but it's a mono device). I then route it back via the instrument in. Then I listen to the wet signal via my headphone, using the Cue functionality as you would do with a DJ mix.
I needed to go into the setup of the Desktop Konnekt to set the headphone to listen to the DAW rather than the monitor mix. That was the missing link.
Now I have a goody analog filter path. Thanks for your help guys.