Right, it might be better if the Roland FA had a THRU.
However, you need to check if it has some sort of THRU switch (I have at least one device, also Roland, which has such a switch, maybe in firmware). which will allow anything coming in the IN to go to the OUT unaltered. Or, this keyboard may do that anyway, without any switch.
I assume you've tried Nord OUT to Roland IN, Roland OUT to Helicon IN. What did that do? You might also have to check re channels, so that midi commands intended for one device ONLY do not cause problems for another device. Maybe the Helicon should receive data on one channel ONLY, in which case you need to make sure the Roland disregards that channel.