You need to read your DAW’s manual about how to create tracks that record ALL channels, and either playback ALL channels, or you use a command to split them into each separate channel on a separate track.

If you record a multi-channel performance (like a split or layered keyboard sound or the output of the arranger) into the DAW, it should preserve the channel info, but if the track is set to output on only ONE channel, it’s only going to play one sound (but play everything recorded through that one sound!). 😱😂

Depending on your DAW, I find the simplest way to hook up the keyboard is to leave the local off stuff alone on the keyboard, but make SURE that incoming MIDI does not get passed through to the MIDI out. Only the output of the track in play mode. That way, no loops, and no weirdness while recording.

One last piece of advice…

I find that trying to record the entire data stream of an arranger going full blast plus your live performance all in one go can sometimes lead to a little bit of timing issues, especially around Variation changes when sometimes a lot of sysex gets sent. I find that doing the basic arranger recording to the internal MIDI Recorder and then saving the recording as an SMF and then importing the SMF to your DAW (save it to your BK9’s USB stick then put the stick into your computer - sadly there’s no way to transfer the file via your USB or MIDI cable) makes for a MUCH tighter capture and fixes any timing issues when sysex gets sent…

As always, I strongly recommend not trying to learn this basic stuff AND compose at the same time. Do little exercises first to get the basic workflow down first. Don’t record a whole tune, record an eight bar exercise. Practice each technical part (recording, transferring the SMF, setting up the separate tracks in the DAW, changing volumes and effects levels etc, editing the tracks for mistakes, replacing sections with your own playing, editing the drums, converting the MIDI part to audio if you want to use plug-ins for say EQ or compression etc.) BEFORE you try to do a whole piece…

Just like playing, you need to practice first before you can record well without getting horribly frustrated! Trying to figure out a basic process you should already know while you’re trying to be creative is the best way to make you give up! Little eight bar exercises will allow you to quickly find out if you don’t yet know how to do something, and to work on it without what you’re working on being critical…

Slow down, learn your DAW, then you will be in a position to not have to figure stuff out as you try to create… 😎🎹🤔
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An arranger is just a tool. What matters is what you build with it..!