Just got the info on GS that excatly this functionality is already implemented in f.e. the Pro3. So there might be hope?
From the Pro 3 manual:
"17 . Local Control: All Off, Key/Wheels Off, On—When on (the default), the keyboard and front panel controls directly affect the Pro 3. When
off, the controls are transmitted via MIDI but do not directly affect the “local” synth (that is, the Pro 3). When key/wheels off is selected the front controls are enabled (so that you can edit them) but the keyboard and Pitch/Mod wheels are off. This is primarily useful for avoiding MIDI data loops that can occur with some external Sequencers."