only saw this now…
a) you keep saying the warning states that the VST Connect Cuemix plug should be inserted in an AUDIO channel. That’s not true, it is to be inserted into a GROUP channel where you send the cuemix (headphone monitor mix) for the Performer, using sends.
b) yes, this is exactly what the Control Room Cuemix is meant to do, but unfortunately that channel does not compensate for the delay which is needed for synchronous recording with VST Connect. That is why it must be used with the “To Performer” Group channel instead. We are working on making it work with the Control Room Mixer because that would eliminate some routing complexity but it’s a bit tricky 
c) for just reviewing mixes, one can indeed insert the cuemix plug in the Control Room cuemix channel or even the Master output. As said, no synchrounous recording works then but if that is not of concern because the Performer side just wants to listen to the mix, for instance, it makes sense. We’ll add an option to surpress the warning messge for such scenarios.