From Tech support:

The Thru channel is used to hear playback when entering notes, using the Chord Builder, or playing in the Ear Training dialog.

For the Thru channel to be activated, you need to use the Microsoft GS Wavetable as your MIDI output device and have the CoyoteWT enabled as your DXi synth.
You also need to be using MME Audio drivers, as ASIO drivers won't work with the GSWavetable synth.

Please go to Options | MIDI Audio Driver Setup to make these selections.

Let us know if you already had all these settings or still don't get sound when entering notes after making these changes.

Thank you,
Alyssa
PG Music Inc.