I have the exact same problem with my MacMini + Logic 9 + Yamaha MX80, with setup & behavior as follows:
MacMinii: Sound setting: above device set as input/output (as opposed to native Line IN/OUT device)
Yamaha MX80 keyboard: Utility = MIDI (as per their manual), Basic Channel =1
Logic:
--- track: External Midi / Channel = 1 / assigned to GM Instrument = Grand Piano (tried other instruments, no sound either).
--- signal: I can see the keyboard notes coming into Logic transport display at bottom in the "IN", records the midi notes in the region correctly, can see them playing back ok in transport display "OUT" ok....basically it is doing everything right and talking/recording to the keyboard ok via MIDI channel/track, but will not play back any sound through headphones, unlike the M-Audio device years back which the above settings/behavior would play notes through.
If I don't get an answer here shortly I'm going to call the 800-856-9801 number. Thanks.