You need to become familiar with TM FX concept of routing in submix mode.
Click to a HW output and create the submix like you wand by simply raising faders of
- HW inputs (what comes from the inputs with near zero latenc)
- Sw Playback channels (what comes from the PC / Application with a little latency (the RTL))

I would watch TM FX videos 1st for getting a good overview, they are not long, good explained without wasting time
https://www.tonstudio-forum.de/blog/ind … al-Videos/

My step by step guide might also help you:
https://www.tonstudio-forum.de/blog/ind … rnal-equi/

And then .. the manual is your friend, its all explained there.

I believe unlocking is not necessary with the Pulse16MX, here is what I could find about this in the manual "If the MADI version of the PULSE16 is not unlocked yet, you can do so by choosing this menu item". I don't know how one can tell MADI has been unlocked or not but when I go in this menu I can access information about MADI SFP such as bitrate etc.

I have connected MADI in and MADI out.

About setting the clock source in the Ferrofish MX to slave to MADI I couldn't find a place in the menus about how to achieve this.
In the MX I can go to set-up  and choose MADI 96K Frame or MADI short frame but I couldn't find anything with the words "locks" etc

About routing, I believe my routing is correct.

As an observation, on my UFX+ the MADI green light is blinking. On the MX the (what could be representing MADI ports) on the bottom of the right screen is "yellow" which according to documentation means "is connected" but I guess not "locked" yet otherwise it's supposedly green.