In fact, the Command Station IS a MIDI Merger. If you activate (in the MIDI Menu) the "merge midi in to out" you can even choose which of the 2 midi outs carries the mix of incoming data and sequenced one. The CS shouldn't filter anything, even sysex, when one if its outputs is used as a MIDI THRU.
No keyboard sporting a MIDI THRU would do it, and it would be a terrible flaw in the design