Ah, ok, sorry, I think now I understand. Your question is whether Play has MIDI thru beyond notes. It’s a good question, and I realized that in all my MIDI setup combinations I hadn’t tested this.
I’m testing with a MIDI keyboard and a DAW. While the notes pass through, I’m not seeing the CC data reflected in the DAW. This would be consistent with the manual:
its Smart Soft-thru mechanism redirects notes from input to any selected output and channel.
“Smart Soft-thru” is not the same as MIDI thru, I guess. 
I suggest you wait to see whether others can confirm this or have other ideas. If the Play doesn’t have MIDI thru, maybe you can ask for it? See Writing a good feature request.