I am curious what you have expected from this Roland device. It is a MIDI keyboard + MIDI controller, but nothing more. Ableton is a complicated DAW, not just a "MIDI sound module". It support MIDI keyboards (in general) and MIDI controllers (that is more tricky).
So, to get any sound out of Roland throw Ableton you need:
1) understand how Ableton works, get sound out of it, understand what is Software Synthesizers, how to setup them and get MIDI clips playing throw them. All that without Roland. And Ableton is far from simplest program to start with. But you can find many video tutorials for beginners.
2) since you see Roland as MIDI input setting in Ableton, once you are done with (1), you can also play "live" or record MIDI from Roland.
3) after all that, you can start reading about MIDI Controllers in Ableton and adopt the "second part" of Roland.
As "the fist sound", you can try the following:
1) open Ableton
2) press some keys on Roland. Observe "All channels" in the MIDI from section of the first track. See some movement? Move on. Otherwise check Options / Preferences / MIDI and check "Input (roland) Track ON".
3) in the categories (left side) select "Instruments" / "Insturment Rack", "Piano & Keys". Drag "Bright Tines" to the first track
4) start playing Roland. Get sound? Done. If not... In the lower part of the screen, you should see MIDI input bar (should move), Bright Tices, audio output bar (changing when you play). If you see all that, but get no sound, check audio settings.