The Ketron should receive MIDI from the USB and generate audio into the sound card.
As mentioned; the choice of preamp can make a pretty big difference in the end result. It may not be 'real apparent' (sometimes just barely noticeable) but in the end it can matter.

I'm another who believes in Ozone (or equivalent). I want to hear it with all the polish sometimes. When I can't it can be frustrating. This is only true once you learn to use it. If you don't have it you won't know what you're missing, so if $$ is tight you may want to avoid trying it. <grin>

Make your sound your own!
.. I do not work here, but the benefits are still awesome