You must start thinking about ROUTING... it is very important.
So far, your keyboard is routed into your audio interface, and then into your computer/GarageBand, right?
This allows signals to be sent through your interface to GarageBand... and it allows the sounds within GB to be played.
But how do the actual sounds within your keyboard get routed into your computer? Only through an AUDIO connection. You must come out of an audio OUTPUT(s) of your keyboard and into an INPUT (or inputs, if in stereo) of your interface. Have you done this? If not, you will not get the audio from your keyboard into GarageBand.
MIDI is for sending signals from your keyboard through your interface into 'virtual' or 'soft' instrument. But internal keyboard sounds? Must be done with an AUDIO connection -- no amount of 'MIDI' will replace this.
Hope this helps.