Perhaps better late than never. IN my opinion and I just bought a VR-09, midi is little more than an afterthought on this keyboard. I may return mine for this reason. The VR-09 is not designed to be a midi controller but it can do so as I can drive the VSTs within Studio One 2 with no problem.. Not every channel can be used to drive your VST as some channels are reserved by the vr-09 for drums and other stuff, it notes this in the manual.
But to try to help. You can't use the midi output and the usb to send midi data at the same time on the VR-09, so try running midi to your VST on the computer through 5-pin midi-in your audio interface and use the usb to connect your interface to the computer.. If you want to run multiple keyboards or you can run into your interface and then use the thru option to get to other boxes if needed. Another limitation seems to be that the lower split (if used for midi) with not send receive pitch bend and perhaps other midi data. I'm weighing sending it back for a real midi controller, there are tons of them much cheaper than the VR-09. There seems to be almost no help on this forum for Roland devices.