Harvey,
Connect Port 4 (EXT) of the R3/RSW to E1 of the REX.
Make sure via Device Explorer that the output of Port 4 of the R3/RSW is set to EX Bus, not ppm.
Also confirm that E1 of the REX is set for EX Bus also.
I'm running this setup with a REX7 and R3/RSW in dual path and it works just fine.
Paul