You must set the keyboard's midi input to Keyboard and Style in order for the midi information to be read.
Press Function, Select MIDI then you can make the selection of Keyboard and Style. This will remain permanent and be default when you fire up the keyboard.
Hope this helps,
Gary

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PSR-S950, TC Helicon Harmony-M, Digitech VR, Samson Q7, Sennheiser E855, Custom Console, and lots of other silly stuff!
K+E=W (Knowledge Plus Experience = Wisdom.)