So you have the keyboard's OUT connected to the interface's IN, and the interface's OUT connected to the JV1010, and that's it? Are you echoing input out to the JV1010 or to a soft synth in SONAR?
It shouldn't make any difference if the routing is as above and there are no MIDI-generating synths in the project, but you should make sure the MIDI track's Input is set to a specific channel of the one hardware MIDI IN as opposed to All Inputs - Omni which it will default to.