Have you done the following below:
In Pro Tools go to the top bar
SETUP>MIDI>INPUT DEVICES
Does the keyboard show there and is it checked? What other options are in there?
If it is not checked, check the box, hit OK.
Close down Pro Tools and Restart Pro Tools.
Also under options in PT11 make sure that "midi thru" is checked aswell under the options or settings menu.
And lastly you have set up the track like this right?
http://duc.avid.com/showpost.php?p=2092986&postcount=11
Hope that it helps and post back whatever happens
Best
Christopher