MIDI can be confusing. When MIDI (often used in a style) is used it is only the information for which note to play, when to play it, for how long, etc. There is actually no sound.
Right now your yammie is taking that MIDI information and making it a sound. If you want to use those sounds in Realband you will have to connect the audio (Line Out) of your keyboard to the computer and record them as an Audiio track.

If you just want to hear the MIDI tracks from the computer you can assign the GS Wavetable Synth as the MIDI Output device (and click 'move selected device to top) to make it the MIDI sound source. Or you could click the "Reroute all MIDI to DXi synth" box and use a different software synth.
Either of these last two choices will likely not sound as good as the Yamaha, so you may want to just record the Yamaha to Audio tracks and use those sounds. I would.
So connect the MIDI Out to the Yamaha (so RB can tell it what notes to play)
And connect the Line Out of the Yamaha to the Line In of the computer (so RB can record the sound)
Record the MIDI to audio tracks.

If you want to record one instrument sound at a time you may need to mute the other MIDI tracks in RB so only one instrument gets recorded to each new audio track at a time. This is how I would do it; record each instrument from the Yamaha to it's own audio track in Realband. It'll make things easier later when you mix down, or decide to change one instrument during a section, etc..

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