If I remember correctly I had to install some sort of software/maybe a driver with mine.
Is it listed in Midi Devices output ?
Also make sure the routing is true (your input should be the MPK)
What VST Synth are you using ?
Also are you seeing midi activity in the track meters ?
What are you using for a soundcard device ? It may very well have nothing to do with the MPK but a soundcard device not working properly.