Something else that may help you deal with this conceptually is that you cannot plug one Roland VR09 into another Roland VR09 via USB (nor one P125 into another P125). It has nothing to do with the brand or model compatibility. Similarly, you can't use USB to connect one computer to another computer (even if identical make and model), as you can with some other methods of data communication (like ethernet). It has nothing to do with software programming, and it has nothing to do with MIDI, it's just a function of the way USB works. You can't connect slaves to slaves, or hosts to hosts.
Also, looking at the history might help. 5-pin MIDI was invented to allow MIDI devices to talk to directly to each other. Many years later, when USB was invented, they came out with adapters to let MIDI devices connect to computers via USB, but that doesn't change the fact that USB requires separate hosts and slaves (the computer is the host). Later, keyboard companies started putting USB on their keyboards so you could connect them to computers (as slaves) without using those adapters. Today, most keyboards have both MIDI and USB connections, but budget keyboards are likely to have just one or the other, presumably as a cost saving measure. Those budget keyboards that only have one are more likely to have USB, I'm guessing because they probably figure that most purchasers of budget keyboards own computers, while probably a smaller percentage of them own other keyboards.
So when Yamaha made the P125, yes, they omitted the 5-pin MIDI connection, i.e. they left off the feature that lets you connect it directly to another keyboard (which is basically what they told you). The MIDI is still compatible between the Yamaha and the Roland, but they chose to include the connection and communication protocol designed for direct connection to a computer (or other host) rather than the connection and communication protocol designed to communicate directly with another keyboard (whether a Roland, or another Yamaha digital piano, whatever).
So your choices in adding a hammer action board to your setup are:
* accept the fact that Yamaha chose not to include in the P125 the ability to communicate directly with other MIDI devices, and use a USB host of some sort (Mac, PC, iOS device, standalone box) to adapt it to be able to do something that the designers did not specifically design it to do, i.e. send MIDI to another keyboard. It may be a nuisance, but it works.
or
* buy a keyboard actually designed to directly connect to another keyboard (that is, something with 5-pin MIDI jacks, like the aforementioned Kawai ES110 or Kurzweil SP1, or pretty much any keyboard from $1000 up). You could also look at used keyboards here... older budget Yamahas for example did have standard MIDI connections rather than USB, so you could look for, say, a P35 or P95, and they should work fine connecting directly to your Roland as well.