Thanks for everyone's help!
 
I'm starting to think the issue lies within the Yamaha itself. Today as I sat down to mess with this, I couldn't get any output from the keyboard during playback, though recording worked fine, and during playback the Midisport box twinkles and the volume indicators jump around. No audio though. Plugged the headphones directly into the keyboard, still no audio during playback. Opened a couple new projects, tried to record, same result. Recording went fine, playback no. Then using the keyboard as a controller, I created a simple Midi track to playback on my rack mount synth, and that went without a hitch. Only the piano failed to sound. Then I turned the Yamaha off and back on, and everything now works fine, and I can switch projects, create new projects, and have no troubles. This feels to me like a winky circuit within the Yamaha somewhere. Yeah?
 
To clean up some answers from other posts, the Midisport drivers are active and Input Echo is set to "Auto", so the button has a little A on it and is blue. (Still don't understand what that means.) The input for new tracks is All Inputs Omni. 
 
If I have a faulty keyboard, I can exchange it, but I'm still wondering if I need to upgrade to the P-101b, which has a Local Control setting ability. I hate having to turn down the keyboard volume to record a soft synth, because I use piano in a ton of my work, and I don't want to lose that every time I record another track.  And bouncing to audio every time is worth the $150 extra not to have to do. That is, if a Local Control setting is what I'm looking for. With the Kurzweil I never had to do any of this. It just knew that when I was on a piano track it would play, and when not it would route to the soft synth sound and shut itself up. 
 
So tell me if I'm understanding this correctly: If Local Control is on, then no matter what track I'm sitting on in Sonar, the piano plays itself when I hit a key, in addition to whatever else Sonar is instructed to play with the Midi info it is given. With Local Control off, it will work like the Kurzweil did, the only issue being a little latency possibly because I'm routing the Midi information out of the now non-playing keyboard, into Sonar, and funnelling it back to the keyboard at which time it will play. (I do recall occasionally having latency issues when playing a piano track on the Kurzweil.) 
 
I need to know if I should return this keyboard, and if I do, should I get the P-101b to be able to switch Local Control.
 
Thank you all again!!