If you can find a Loopback but not a Playback, you are looking in the wrong place!
1) Create an Instrument Channel:
Click HOLD on the I/O slot:
Alternatively, drag an audio file from the Finder onto the channel strip area in Mainstage allowing MS to automatically add a channel strip with Playback already there.
Oh my. I fail at life. I feel like a complete idiot. Thank you. On creating a new instrument channel strip, it assumed my input was my EWI and I didn't tell it otherwise. After that, it didn't give the Playback option in the I/O list. *sigh*
I still don't know why dragging the file in isn't working.
Or why I was 100% sure I was doing the exact same thing I did for 3 months straight last year.... I'm in idiot.