I've got the PF into the TF, then MF and Space. I can pass MIDI Clock through all the pedals, regardless of whether the selected preset (on any pedal) is active or not not uses Tempo or not. So, this can be done.
On your MF, what do you have System >> MIDI >> Output set to? Mine is set to THRU, but if yours is set to XMT, only MIDI Clock from the MF will be transmitted. My best guess is that this is what you're experiencing.
The problem is if you're using other MIDI data generated from the MF, that would no longer be transmitted downstream. Unfortunately, there's no built-in way to merge internal and external MIDI data without using an external box. I might suggest using your TF to transmit MIDI Clock and any CC or PC data, then setting the MF MIDI Output to THRU. That way, you'll get MIDI Clock from the TF to both your MF and PF. There are alternatives, though, if that's not a workable solution in your rig.