I use a Yamaha MX49 keyboard which has bidirectional USB for pure digital recording, so the synth actually acts as an external USB sound card. Steinberg provides the Yamaha USB Driver which I have used successfully with Audacity in the past. It’s easier to call up Audacity to record my inspirations than the software that came with the keyboard, but after installing Windows 10, functionality stopped. I am unsure if it is Audacity or the drivers for the synthesizer, but I get flawless playback in windows without a problem and I can record using the software that came with the synth (Cubase AI8). But when I run Audacity, I get no sound, even though I can select the synth in the list of devices. I have not tried any other DAW with the keyboard on this system to see if the driver is proprietary, but the driver has not been updated so that just ads to my confusion. Nothing has changed except I cannot use Audacity at all.
Strange… I found the user manual for your keyboard online, and it says it’s “class compliant”. That means it uses the Microsoft-supplied USB audio drivers and it should work with any Windows audio application. And, you’re getting playback through the computer, so the digital audio data is “getting into” the computer.