Midi not playing correctly

I have a Digital PIano.
It has a library of sounds and also the usual General Midi sounds.

I have TWO questions:

When I connect it to Cubase it only plays back with the sound that is currently on the Piano’s display. (ie: if i leave the piano in Violin Mode, it plays back the Cubase Midi track in Violin, and not the programmed Cubase sound).
is this a piano or cubase setting to fix this ?

When I play back a cubase song, the non-midi tracks playback through my Audio Interface OUTPUT, but the Midi track plays back either through my Piano or Computer. There isn’t any option for Midi to playback through the Audio Interface Output speakers.
In the Inspector (left Zone) The only Midi Output choices are: 01.Halion Sonic Midi, Casio USB Midi, Microsoft GS Wavetable Synth, VSL Out.
is there a reason my AUdio Interface Driver is not listed here ?

MIDI is only data. This includes note, note length, velocity, pitch bend and control change data. It doesn’t include any sound.

The sound you hear depends on the sound source it’s controlling.

So if you programmed some notes in Cubase on a certain sound from your digital piano but then change the sound later, the piano will then play the new sound.

You need to record to audio, set up a program change data or do a sys ex dump for the sound to automatically change to the one you want.

This is all advanced stuff though.

In order to hear the sound through your audio interface, create an audio channel. Set the input as your digital piano and the output as your studio monitors. Then click the little speaker icon to monitor the input of that audio track.