When opening Key Editor the rest of the instruments stop

When I’m playing song and double-click the key editor (piano roll) the rest part of the song stops playing.

Is there some way how all instruments could play when I’m working with the velocities in the key editor ?

You probably have the Solo Editor function enabled. In the Key Editor near the left end of the toolbar there is a button with an “S” in a circle that turns this function on and off.