MPC Studio / MPC 2.1 - Can't change MIDI keyboard sound

Hey there,
my problem is, that I don't hear any instrumental sound changes, while changing it on my keyboard (Technics SX-KN470). No matter what instrument sound I choose, I'll only hear the piano sound.
First of all, try to provide as much information as possible, that's why the following text might seem a little unstructured and confusing. Sorry for that in advance :/

My setup is:

- MPC Software 2.1
- MPC Studio
- Technics SX-KN470

I will post my questions here now, as you maybe don't need to read all that stuff to understand my problem and already might know what the solution is:

- Does my connection, described below make any sense in general?
- Is the KN470 capable of sending a proper MIDI signal?
- Are there maybe two different kind of MIDI signals? So one with MIDI control only, and one with MIDI + Audio?
- Does the KN470 can only send the MIDI control but not the MIDI + Audio signal?
- If the KN470 is capable of sending a proper MIDI signal (+instrument sound) what should I change on my connection / MPC MIDI-In settings?

What I tried for now is:

1. Watching/Reading a bunch of tutorials on different Forums, technical (MIDI) + MCP related "how-to"s
2. I connected the KN470 via MIDI-out to MIDI-in via MIDI-adapter to my MPC Studio.
   On the KN470 I set Poly1, which is the instrument sound you can set (from 00=Piano (which is the sound I always hear, but can't change) to 99=some kind of drums), to MIDI Channel 1 and in the MPC Software, I selected to listen to MIDI Port1.
   Current status is that I receive the MIDI signal from my keyboard in the software when the MIDI tab is selected. Also the notes and velocity is recognized. So far so good. But I still can't change the instrument. Well I CAN change the instrument on the keyboard, but what I will hear is still the piano sound only. On the keyboard speakers the instrument I've chosen is played back.

(To give you the full story - may not be relevant for the instruments sound problem:
Additionally I experienced that there was a delay/latency on the MIDI Signal. Well not the MIDI Signal itself, but the sound I heared on my headphones. On playing back the recorded MIDI signal, the sound appeared some 1/10th seconds after the start of the sound tile in the software was reached.
So I did another research on how to eliminate this latency. The fix was not to use "Microsoft GS Wavetable Synth" but to install another MIDI Synth. What I found was this one https://coolsoft.altervista.org/en/vi... which actually works now, as I could set the latency to 1ms. In the end I heared the sound immediately when I pressed any key on the keyboard.)

As I couldn't find any "thru put" setting on the MPC Studio, which I saw in different "MIDI connection to MPC tutorials" on YT, I really don't know what I've to change. In so many Videos, I saw that the user simply connects the MIDI out of the keyboard to the MIDI-in on the MPC and the sound being chosen on the keyboard is played back...

What I have in mind what could help:

- 2nd MIDI cable in order to put the MIDI signal back from the MPC (MIDI-out) to the keyboard (MIDI-in).
This one I found on the keyboards manual. Here it says:
Use this connection "To record your performance in a connected MIDI sequencer, or to generate sound from this instrument by operating a connected MIDI sequencer". But I'm not sure if this will help. Before I buy another MIDI cable, and I will still be disappointed because it still might no work, I decided to get some help/feedback here, it this plan/cable makes sense at all.
- I also learned that the MIDI signal is a control signal only, so not an audio signal. Here's the part I'm confused again, because if it's only a control signal, why do I hear the piano sound then? I asked a friend of mine and he told me the same "it's only a control signal not audio signal" and the piano sound would be the default MIDI sample sound of this keyboard, and I have to get an audio interface.
So I started searching for audio interfaces, seeing that would have to connect the MIDI-out of the keyboard to the MIDI-in on the audio interface, which will then transform the MIDI signal into an audio signal.
I'd then hook up the audio interface (phone jack 6,3mm-out), generating the audio signal, to my PC Line-In (phone jack 3,5mm). In the MPC Software I'd try then to set the MIDI-In to Line-In. All theoretically.
- Going out of the Headphone Jack from my keyboard - but then I would miss the MIDI signal :/

But before I start purchasing again any stuff that I don't really need, it would be great if someone could help me, finding the correct connection in order to get a i.e. trumpet sound out of my keyboard and thru the MPC to my software, back out to my headphones.

Thank you very much!

you have your midi connections backwards I think, you want the mpc to trigger a trumpet sound out of your keyboard you need to have the mpc midi out to the midi in on your keyboard, and then have your keyboards sound output going into your audio interface inputs that way you can bring the sound into your daw/mpc software. If you want to use the keyboard to play sounds out of the mpc then you need midi out on the keyboard going into the midi in on the mpc. Make sure you set your keyboard is set up to receive midi, if you are not trying to control the keyboards sequencer and you just want to use the sounds and for playing the keys than ignore any sync features like MTC, midi clock, etc.... Is this what your problem is? You seemed to have overcomplicated the situation as I read all that text.