Vincent,
It sounds to me like you are mixing Method 1 and Method 2 as I described.
In Method 1, you should not use VE as a plugin. Set up the Aux Track to accept audio only.
Run the Vienna Ensemble (not the VE Server), and make sure that the audio output goes to a sound card which is then plugged into your Pro Tools input.
As far as feedback, I am guessing that you have Pro Tools and Ensemble running on the same machine, and are using MIDI-over-LAN (MOL) to move the MIDI signals, in "pipe" mode. This is fine, but it is very easy to accidently set this up to get feedback. If this is the case:
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in the menu of Pro Tools, go into the MIDI setup functions, especially MIDI Input Filters (the names might not be exactly right, since I am not in front of my Pro Tools Machine right now)
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make sure that all of the MIDI-over-LAN "pipe" inputs are turned off. (unchecked). In fact, I suggest that you turn off all off the MIDI inputs except those where you are really sending MIDI signals into Pro Tools (for example, from a keyboard).
I this does not work, please send more information on your setup. For example:
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Ensemble and Pro Tools on the same machine?
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MIDI configuration (hardware? MOL?)
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Sound card configuration
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Complete setup of the Aux Track in question (inputs, outputs, filters, sends, etc.)
Good luck,
--Dirk