Hi
Here is my setup .
Using a usb cable from the Roland to my computer.
I listen via headphones plugged into the computer .
So what I am hearing is a piano, doesn’t matter what I have the Roland set for.
If I record, and then listen to that, it is the same piano sound.

Pasted below is what Roland told me.
Thanks for the help,
Jeff

From Roland:

MIDI does not carry any sounds - it is a control message only, so it sounds like you are triggering a sound that is built into your computer.

If you would like to record the actual sound of the VR-09B into your computer, you will need to instead use an audio interface, which will connect to the main left / right output jacks on the back panel of the VR-09B, and then to a USB port in your computer. Once this is set up, you can create an audio track in your DAW application on your computer, and record the sound of the VR-09B