In my case -- and maybe in yours -- the answer is strange and unexpected.
I thought I was connecting via Link over my Wi-Fi router, but alas... no. Link (UDP) is flowing over the USB cable. When that same USB connection is used for Audio, it stops transmitting UDP.
So for me, the answer was either:
- Use another router in which UDP is not blocked
- Use another way to transmit MIDI, like Bluetooth or Network MIDI.
It's easy enough to prove that Link is communicating over the USB cable. Use the problematic router and unplug the USB cable and see if Link still works. In my case, this produced the exact same result as connecting the Audio/MIDI source: no Link.
Surprisingly: Link uses UDP to communicate, and this does not require Personal Hotspot to be enabled.