Midi Concept

Can someone please rescue me.
I thought the concept of midi was built around the idea of "Daisy Chaining" or using midi through ports to link multiple synths and drum machines together all sending/recieving on different channels.
Is there a way to rack up say four synths in one ensemble window all sending midi data to separate midi tracks on seperate channels and outputing audio through the two available audio outs?
I could open a separate instance for each synth on an auxillary track but this just swamps the CPU.
Are most Protools users out there running Reaktor out there relying on the power of there TDM systems to run it in this fashion?
I Realize Protools LE does all the processing of plugins on the CPU as opposed to Hardware cards is this where face a brick wall?
But back to the top what is the most common way to run multiple synths in an ensemble wiring window, assuming now we're running Reaktor standalone?