The dilemma to the transpose setting affecting MIDI is that you have to contend with a second transposition when MIDI comes back in.
For example, say you're transposed at +2 semitone and play the physical middle C key (note #60). If this is sent (and potentially recorded) as note #62 (D), then on receive it'll be transposed again to E. This idea quickly gets out of hand. Much better to always send what's actually played, and transpose at the sound source.
I'm certainly on board with multi-octave transpose, though.