MIDI is data, not sound, so you need a synthesizer to make the sound. The synthesizer could be hardware, like a MIDI keyboard or sound module, or software, as in one of the synths in your synth rack.
The Akai is a controller and doesn't make sound; it only sends note data to the sequencer (X1 LE).
Insert a soft synth. Set up a MIDI track to record from the LPD. Set the MIDI track's output to the soft synth. Click the Input Echo button in the MIDI track so you can hear what's played. Play the LPD 8. You should hear the soft synth as you play the keyboard.
Click Arm for recording in the MIDI track then the Record button at the top. That will start the recording and the MIDI track should record what you play on the keyboard and the soft synth should play the sound.
This is some of the most basic information in the Help files and tutorials. I recommend that you read the Getting Started section of the Help files (at least) and do the tutorials.