Jerry, I've only just started studying the digital end of music the last month or so. However, I think it's safe to assume if I screw up, somebody will jump on me in about 1 ms.
If you have a controller with MIDI OUT and a module with MIDI IN, then I believe those two pieces of equipment are surely supposed to work together. However, on the forums I've read of a few cases where some manufacturer's equipment doesn't like some others, for some strange reason. I think that's rare, and believe there is a malfunction somewhere.
Once you have the MIDI straightened out, if you want the module to play out of a speaker on the kbd, you wouldn't use MIDI in the other direction. You'd use audio out/in. Make sense?
Rick