If you also have an audio out of the Korg connected to your audio interface it is likely the Korg audio.
RB is sensing audio input from 'somewhere' when it asks this.

Just Keep Take and then Solo the audio it recorded to find out.
There is a setting for this in the Preferences - Audio tab for 'always record audio too if the track is MIDI' .. if you want to turn it off.


Make your sound your own!
.. I do not work here, but the benefits are still awesome