"It will play the piano, and I don't know where it is coming from"

You must have another midi out device set of a default synth set.

"So in the Midi Device Settings you set MIDI In to your keyboard, disable any default midi out or default synths.
Highlight the track Sforzando is on and record, if you have it set to ASIO and ASIO Always on you should get sound when it's stopped."