@Mr_C, do not know if I’ve still understood you.
If you mean to render tracks with notes to get separate samples for each track, this is already possible. In “render song to disk”, use “Save each track into a separate file”. You can also use the “SamRender” tool. It allows you to do several things also to get several samples in one step, loading them directly into an instrument. But this is “render”.
If you mean to record a sample (this is not the same as rendering), it is only possible to assign a specific track, so that the recording takes the effects of the track, and you will get a single sample, which will be loaded into a sample slot inside the selected instrument. What do you want, that when recording with your microphone (or other input) you can obtain several samples, and that each of these samples has the effects of several tracks separately, all at the same time? This is not possible, but it is a good idea. Anyway, this can be done step by step. A recording, a sample.
About the loops, in a sample you can add a loop (a starting point and another point for the end) from “Sample Properties”. That created loop will continue if you copy that sample into another instrument or duplicate it. That loop will continue to sound if you do not stop the trigger note, with a Note-OFF.
Does all this help? If not, ignore everything I said. I do not understand English very well, be patient. And the concept of “embedded loop” sounds like something strange to me. Possibly I confuse it with “add a loop” in a sample.
