That option actually means something else. It's possible to connect to an H9 via Bluetooth not using H9 Control and send it MIDI messages over Bluetooth. That option turns that functionality on or off. If it's on, then the only thing protecting your H9 from someone else pairing to it and controlling it is your PIN. That's why that option is off by default.
The functionality you're describing — having H9 Control send MIDI from a Core MIDI device to an H9 — is not currently supported, but we are planning on adding that in a future release.