Same issue here. It’s a $3000 interface that can’t get the most simple most used feature out there!
After spending hour and hour with top tech support at Steinberg, they still couldn’t make Loopback work and said that this should be in their next update (that was 4 months ago!)
A workaround: I send the output of my computer to and physicals patchbay and then loop it back into the the AXR and record it.
STEINBERG: Please update this interface, we paid top dollar for it!