That brings up some more questions:
1. Do you have the keyboard connected to by both USB to the PC and MIDI DIN cables to the M-Audio? You should choose one or the other.
2. If SONAR can't see the M-Audio's MIDI ports, you might need to restart your PC with the interface powered up.
3. When you say "reverb" do you really mean the drums sounds have ambience on them, or do you mean you're getting a slapback delay by MIDI messages being doubled?
4. We're talking about drum sounds from your Kurzweil, not a soft synth in SONAR, correct?
I've been making the assumption that you're trying to use your Kurzweil as a sound source, but maybe you should clarify exactly what you're tying to do.
Input echo means incoming MIDI messages (or audio in the case of an audio) are "echoed" (i.e. passed on) to the track's output. This is how you would normally incorporate a keyboard synth's audio into your setup - by having a MIDI track that receives and echos MIDI back to the keyboard synth with an audio track receiving and echoing the synth's audio output to your monitors. You turn Local OFF on the keyboard so that you don't get doubling of the MIDI messages to the keyboards' synth module while performing, and so you can use the keyboard as a controller to play a soft synth without also having the keyboard's synth generating audio by local control.