This don't seem to be mentioned here, but there is a discussion at for instance https://sourceforge.net/p/lmms/mailman/message/32465913/

What I want to do is

1. Load a step-sequencer VST like BlueARP as an instrument (this works)
2. Feed input from the piano roll into the VST (this works)
3. Feed the MIDI output from the step-sequencer VST to another instruments MIDI in (this don't work)

Some other DAWs that shall remain nameless handles this vis internal MIDI routing, but LMMS seem to lack this feature.