With a stroke of luck, I finally managed to load my custom presets I built on the standalone app and saved to my SSD into Reaper! For anyone who wants to give that a shot:
1. Make sure the VST plugin is run bridged. Right click on the CFX concert grand (mine is the X64 plugin) and select "run as..." submenu, expand it and find "separate process", then press Enter. Reaper will remember which plugins you run bridged.
2. Now, go and insert the VST plugin into Reaper, and you'll find 2 opened windows. One is the Reaper track window, and the other window is called "CFX Concert Grand." Make sure your focuse is set to the newly opened "CFX Concert Grand" window by pressing Alt + Tab.
3. This interface is very visual and screen reader unfriendly. Luckily, I can use OCR features on my screen reader of choice and browse to a thing called "Empty." I can left click the mouse button by pressing the / key on the number pad when the numlock is on. All I need to do is to set a marker on this element, so next time I can browse to that element and left click. Now, in the pop-up menu, I choose "load," and the familiar browse dialogue on Windows appears. I browse to one of my created presets, press enter on it, wait for a few seconds and... Bob's your uncle, you're ready to play, record, and do whatever you want to do!!!