You're not doing anything wrong. These units only allow one tempo source, so if you have MIDIclock in, you can't have tap tempo.
This is because MIDIclock can be unstable (especially when coming from a computer), and if you set tap tempo, and then there was a tiny change in MIDI tempo, it would overrule your tap, and you could never be sure what the tempo source was.
For his reason, we thought it best that you clearly specify the tempo source.
Don't use THRU+CLK unless you actually need it, as it can slow the unit down if the MIDI is busy. Use THRU or XMT if you don't care.