To record into >>> Studio One using your keyboard you have to setup a New Keyboard Device as outlined in the reference manual section Setup > Set Up You Midi Devices and assign the Receive From midi port.
Additionally, if you also want Studio One >>> to play back to the keyboard, to use its own internal sounds as sources for Studio One's instrument tracks, the instructions are the same but instead setup a New Instrument Device pointing back out to it with the Send To midi assignment.
Midi input >>> Keyboard Device >>> Studio One >>> Recording or playing a virtual instrument
Studio One --->> Instrument Device --->> Midi output --->> Hardware keyboard as sound source