That does seem to make some sense. If you just click in the piano roll when you have not played the MIDI then it will not have sent a PC (Program or Patch Change) MIDI message to the keyboard. So the keyboard will play the note in its default or selected voice and the default is nearly always Grand Piano.
Maybe you either need to play the MIDI through once or just select the voice you need at the keyboard before you start clicking notes.
Steve
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