I have a key command set up to turn midi thru on and off in my DAW. When I use the Rev2 as a controller (with local on) I am constantly toggling this setting for the very same reason. As of now, it's just the way Sequential's synths work with local on/off settings.
Look for a way to turn midi thru off in the Digitakt. If that's possible, you can leave local set to on in the OB-6 and toggle the midi thru setting instead. I know it's just exchanging one workflow distraction for another but in my case, hitting a key command is much faster than going into the globals on the OB. Especially when I don't want to leave the sweet spot in front of the monitors.
I really like the way Moog handled it with the Subs 37. You can turn local on/off separately for the keys, wheels and panel.