It happens. The workaround I use is to:
1. use Direct Input (Cthulhu -> Instrument for example) to write the parts until I'm happy with hem
2. then turn off Direct Input
3. select Cthulhu as an Input on the Instrument
4. turn Record on the instrument with Monitoring OFF
5. Record in real time
It takes longer but it's the best way I've found, especially since you can still play the Instrument while Direct Input is being routed to it. So you can do things like have a Chord Progression coming out of Cthulhu with gaps in it and freestyle some fills during the gaps on the actual Instrument Track.
I really haven't bothered pushing this issue with Tech Support because I think the real solution is this request: