If I understand correctly, you want to use the Roland as a MIDI keyboard controller for GarageBand, right?
If that's the case then you shouldn't need any of the Roland's MIDI Receive functions, so turn off the seven MIDI Receive functions.
Under the MIDI General settings, I think you should set the Performance Control Channel to off, since you aren't using GarageBand to switch performances on the Roland.
Under the MIDI Transmit settings, I think Transmit Edit Data can be turned off as well.
Transmit Program Change and Transmit Bank Select can also probably be turned off if you're selecting the desired sounds/patches from within GarageBand.
You should also be able to turn off the Soft Through setting.
I have no idea about the Transmit Active Sensing setting.
Looking at the Fantom-S owner's manual, I see a reference to "Chord Memory." Since the trouble you're having seems to be related to playing chords, you might want to play around with the Chord Memory function to see if that's causing the problem.