That's all working correctly :
-- The MIDI notes are in the MIDI Clip,
-- On playback, those notes are routed to the MIDI Hardware Output for the track (your Uno),
-- The "MIDI activity" indicator lights up showing that the MIDI notes are detected,
-- the MIDI notes leave Reaper and go to your Kurzweil which generates the audio,
-- there is no audio within Reaper, so the audio level meters on the track and on the Master do not have anything to register,
-- the slider only controls audio(*) - it has nothing to control so has no effect,
-- the FX you are adding are audio Fx - again, there is no audio within Reaper so they have nothing to effect.
What you can try is sending the audio from your Kurzweil back into Reaper, then you will see the audio levels and can apply FX to the audio.
Also have a look at ReaInsert (User Guide, section 3.31)
HTH