Hi, Herb,
 
Finally getting time to try this.  Here's what I get: 
Set Track 1 (piano)

Input FR channel 6 - OK
Output 2-Cakewalk TTS1-1 - OK
Channel 1 = Cakewalk TTS-1 (?) is this correct?
Key 0 - OK
Bank = 15488 Normal 0 (?) What is this?
Patch = piano = OK
 
And when I go to Preferences to set the Output of the PSR E-433 to Channel 6 it always defaults back to Channel 1.  I have inserted the TTS-1 but if I record on Channel 1 I get nothing.  
(The light is still not going off!)

Don't mess with the PSR E-433. Use the keyboard default settings. Then set the MIDI track input to the keyboard Omni or channel 1.
 
The TTS-1 can play up to 16 channels. Starting with output channel 1 makes sense but it is not necessary. By convention channel 10 is for drums but the TTS-1 does not care about the convention.
 
I am sure there is an historic reason for the bank name but cannot tell you what it is. BTW, if you prefer, it is possible to set the instrument directly in the TTS-1 by clicking the EDIT buttons at the top of the UI and the click on the instrument name. All of the instruments will show in a popup menu.

I think Herb mentioned that channel 6 just happened to be what his keyboard was set to transmit on, you don't have to use 6.
I have always used Omni as the track input from the keyboard.

57Gregy
I think Herb mentioned that channel 6 just happened to be what his keyboard was set to transmit on, you don't have to use 6.
I have always used Omni as the track input from the keyboard.

 
Yes... I set my keyboard to channel 6 midi output years ago for a reason I no longer remember..  any channel can be used including OMNI.