If you are using the USB as a MIDI cable, then the VR-09 is sending only MIDI data to the computer.
Therefore the computer is setting/generating the sound being used.

Many times this is because the hardware synth (VR-09) is sending the MIDI Out data on MIDI channel 1, and the computer is routing the MIDI data on channel 1 to a Piano. This is a normal default setting.

The solution would likely involve either
a. setting the send channel from the hardware synth to a different MIDI channel that the computer assigns to a different instrument
b. Setting the computer to use a different sound for MIDI channel 1 (inside the softsynth being used). For multi-timbral softsynths (like GM syths) you can usually assign a given MIDI channel to a desired sound.

When using MIDI, no actual sound goes from the hardware synth to the computer (only MIDI data that the computer uses to generate sound).

If you instead use the Audio connection from the VR-09 to the computer you can record the audio sound from the hardware synth to the computer (as audio).

There are ways to route the MIDI into the computer back to go back out to the hardware synth, but then you may need a way to listen to both audio outputs at the same time (some sort of mixer).

HTH



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