[jstunner]

Ok, I'd try this. Set up the midi track just like you have. Channel 1 in Channel 1 out. However, during your recording of the midi track disconect your "midi in" cable on the keyboard. Set up an aux track to monitor the sound from your keyboard. Make sure you have your monitor settings to "input only". Before you do anything make sure you can hear your keyboard through the aux track. If that is good, arm the midi track and record your performance. Check in the edit window and make sure you have midi data on the track. When you go to play back, un arm the midi track, reconect the midi cable into your midi in on the keyboard, and disconect the midi out cable. Press play or hit the spacebar and see what happens.
Sometimes having a midi loop can screw things up. I had a problem with an old Yamaha keyboard jumping presets everytime I'd push play.

You WILL need an aux track or an audio track with record enabled to hear your keyboard.