I would use TM FX routing capabilities instead of DAW mode. Otherwise you need to route everything through the DAW with the full RTL (round trip latency) over firewire where latency can become quite high depending on buffer settings that you need to prevent audio drops.
TM FX contains a menue where you can implement a routing like in DAW mode by only a few mouse clicks.
You can base on this and perform further changes according to your demand including near-zero latency monitoring directly from a HW input to a HW output without the RTL. E.g. when recording guitar or vocals to a backing track where you want to hear your voice in the headphone mix without any latency.
The rough steps as a small overview how to achieve this:
1. Options -> Operational Mode -> Full Mode
2. TM FX -> Options -> Reset Mix -> Total Reset
3. Ensure that Submix Mode is enabled in TM FX, on the right side (in the light blue area under "Routing Mode")
4. Click to the "Assign" Button in TM FX, right side in the control room and select the proper HW outputs for
Main Out -> e.g. AN 1/2
Phones 1 -> e.g. Ph x/y
By this you move the two HW outputs into the Control room to be able to use control room functions with them.
5. TM FX -> Options -> Reset Mix -> Straight Playback, this is like DAW mode
Audio from PC (TM FX middle row, "sw playbacks) are being routed to the corresponding HW output (TM FX bottom row), e.g.:
SW playback AN1/2 -> HW output AN1/2
SW playback AN3/4 -> HW output AN3/4
...
OK so far so nice, DAW mode without entering this "limited" mode.
But more fun and flexibility with TM FX Full mode.
You only need to know few things to be able to operate it. The step by step guide is kind of an "appetizer" for a good 1st time setup on which you can base on.
Basic difference to an analog mixer where you (more or less) only move input fader and thats it, because audio will be send to the monitoring section automatically. Here you need to define the channels for the control room 1st and perform routing on a per output base. Or in other words, in TM FX every HW output is like an AUX send on an analog mixer, if you know what I mean. With the knobs per fader whether you want to have this input on AUX send 1 ..4 or 1..8.
EDIT: Well could you imaging an analog mixer with e.g. 64 or more knobs for AUX send 1..64 ... well would be a lot of knobs.
There are RME interfaces like HDSPe MADI FX with 196 output channels ... 196 knobs ...
Therefore Submix mode in TM FX, the only way to operate this in a very nice way.
In TM FX you can create an individual submix for every HW output (bottom row), easiest in submix mode,
by selecting a particular HW Output and then to move fader of HW inputs and SW playback to create this submix.
As we had such questions already so often and as it is always a lot of typing we created a sticky article in this forum.
Please have a look of this collection of information.
There you will also find a step-by-step guide for a good 1st time setup and excellent RME training videos, which do not waste time with unnecessary bla bla and come quickly to the point:
https://forum.rme-audio.de/viewtopic.php?id=34394
Regarding external HW ...
a) with support of the DAW
Cubase has a possibility to create an external device, you only need to tell which analog outputs and inputs are in use.
Then Cubase sends a "ping" through it to calculate the latency automatically for delay compensation in the DAW when sending audio through it and thats it. I do not know how this is being handled in the sometimes "more conversative" Protools.
b) by routing in TM FX
Send something in the DAW to an HW output which is free. You will see audio appearing in TM FX middle row.
In Submix mode select the HW output and turn the fader of that SW playback up to 0dB.
Now you send audio out to this device.
The external device is plugged to some HW inputs, you should see audio coming in on the HW input.
This you can record in your DAW.
Thats it basically.
I would do the routing for monitoring through monitors and phones and store it to snapshots 1 + 2.
If all is ready
- save workspace to a file on disk for backup purposes and
- save it also to a workspace quick select slot (*)
(*) Then you can restore even multiple workspaces easily by pressing ALT+1, ALT+2, ... ALT-0 (this are 10*8 snapshot settings = 80 different routings at your fingertips). Up to 30 possible.
BR Ramses - UFX III, 12Mic, XTC, ADI-2 Pro FS R BE, RayDAT, X10SRi-F, E5-1680v4, Win10Pro22H2, Cub14