You only need to turn local off on the keyboard if you wish to hear the BK9 through the computer.

When you record with local on, the DAW will only record the Midi (It should not send the sound back to the keyboard) so no need to change the output port.

If it does send back to the keyboard while you are recording Midi, then you have altered a setting in your DAW to make this happen. (Unless that's the way your DAW works by default but is not normal in other DAWs)

Bill