Have you inserted a soft synth to play the Midi sounds?
Insert a soft synth- example TTS-1
test your audio set up by opening the GUI for the TTS-1 and use the note icons to play a sample of the sound.
Then insert a MIDI track and set it's
input to the Line 6 keyboard.
Set the Midi track
output to the TTS-1
Set the focus on that track with input echo on.