I just tried, but wasn’t able to recreate this issue here.
I wonder if you have enabled the OSC server in Renoise? The ability to create native MIDI messages from a tool relies on that component.
Unfortunately, Duplex doesn’t currently check if the server is running - right now it just displays an instruction once - but I know how easily those gets dismissed.
Edit: there’s a new version (v1.02) which tries to detect if the server is running. Give this release a try?