Turns out this was me and my glorious setup being stupid 
What was my mistake? I have multiple USB Channels/Routes to send MIDI from via USB. Turns out the one i was using had an outgoing filter that removed Velocity 
.
Velocity is recorded correctly. So there is no issue.
There’s a gotcha’s that i’ll share with you all:
- If you try to record velocity from an sample instrument that does NOT have a sample assigned to it yet / is empty - make sure that you increase the Velocity from
-Infto anything else.
This will ensure that velocity can be recorded, eventhough your instrument slot is currently not occupied. 
Thanks for attending my ted-talk. 