I seem to recall there was a way to do Thru on the FM, though I haven’t yet had the need to use it. I think you may have to make a modification to MIDI Out for it to work though? It’s been a long while so I don’t remember readily.
One option you have is to build something that includes a MIDI router (e.g. MBSEQ, MIDIO128, MBNG) and have it handle your MIDI interfaces and routing. Not quite what you’re after, but might be something to consider if you can’t get Thru working on MBFM directly.