If you're recording your keyboard's MIDI messages then it's normal for the recording to sound different when replayed in your DAW-- and it may even sound different in different DAWs-- because in the DAW you must assign the MIDI channels of your recording to one or more virtual instruments, so what you hear are the DAW's virtual instrument sounds and not your keyboard's sounds. In some cases it may sound much better in the DAW, or more worse-- depending on the sound qualities of your keyboard and of the virtual instruments being used by your DAW-- or it may sound equally good (or equally bad), just different.
If you want to record the actual sounds of your keyboard then you need to record its audio output-- connect your keyboard to your audio interface via a TRS audio cable with 1/4" plugs (plug it into your keyboard's PHONES/OUTPUT jack). You can still keep the keyboard connected via MIDI cables as well. If your keyboard and audio interface aren't close together, such that you need to use a longer audio cable, then you might pick up noise over the unbalanced connection, in which case you might want to get a DI box and put it close to your keyboard so you can connect your keyboard to the DI box via a short audio cable and connect the DI box to the audio interface via two longer audio cables, so that the longer cables will be carrying balanced L/R mono signals to help with noise reduction.
If you want to get the best of both worlds (MIDI and audio), you can record your keyboard's MIDI messages so you can edit them in the DAW, then when you're ready to record the audio you can output the MIDI tracks to your keyboard and record its audio output in the DAW. Or you could export the MIDI tracks to a MIDI file, load the MIDI file into your keyboard for playback, and record its audio output. Or you could record some of the tracks using your keyboard's audio output and record other tracks using virtual instruments.
If your keyboard doesn't sound as expected when it's playing the MIDI messages coming from the DAW or contained in the MIDI file, make sure you've recorded the necessary Bank Select, Program Change, System Exclusive, and assorted Control Change events which are needed to get the desired sound from your keyboard. Your keyboard has an INITSEND function which you can use to transmit all of these settings to your DAW, although you might need to check your DAW's settings to make sure it's allowing all of the event types to be received and recorded. Note that it's normal to leave the first measure of MIDI tracks "blank" (free of Note events) and put all of the necessary setup events in the first measure, because some of them take a little time (several MIDI clock ticks) to execute.
