most of VST instrument have a “legato mode”.
To use it, you have to turn it on ( 
) and then you have to write the two notes into two different track columns without a note off.
C-4
000 E-4
C-4 off
off
this will (should) do a legato from C-4 to E-4, back to C-4. If you do not put the note off on the second column before the one on the first, some VST instruments will go back to E-4 when the C-4 will be shut off.