My keyboard does have many internal sounds, Mac. However, it's my understanding that Yamaha (at least this one) doesn't support the full GM bank. I believe they use a proprietary mix of voices that differs slightly from "mainstream" GM.
It should have Yamaha "XG" bank in it, which is basically the same as GM but with different Patch Number ordering. BiaB has a "Use XG" command under the GM MIDI menu, a one-button solution to that nonproblem.
If I do as you suggest, I believe that I would not be able to record into BIAB. Is that correct?
You can still record.
The Audio output of the keyboard, though is best done by using L and R audio cables from keyboard to Line Input of your sound device on the computer so that you will hear both MIDI and RealInstruments coming from the same speakers.
You also lose the rapid "Render" to wsv, mp3, etc. feature because the "Use DXi" must be unchecked in order to have BB route to your external hardware MIDI synth in the keyboard.
But - you should try it and see, because the sounds in that keyboard may just sound better than any of your DXi.VSTi synths anyway.
AND - there is that guarantee of near zero latency when using the sounds from the keyboard to consider.
--Mac