You might want to call Casio and see if they can help you out with your issue Larry. Make sure your cables are good. A faulty cable or cable(s) could possibly be the culprit and it is a cheap fix if that's all it is. I wouldn't suspect it would be your audio interface, especially if you've recorded previously without any problems.
Is this a new problem or a recurring thing? In other words, has it happened in the past under different circumstances i.e. with different Gear or has it been limited to the PX-800? You have to make sure that the Casio is setup properly to send and receive midi correctly. Also, in Sonar you need to make sure you are recording to "midi" tracks and not to 'audio' tracks. Hope this helps.
All the best,
Mike
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Yamaha Genos, Mackie HR824 MKII Studio Monitors, Mackie 1202 VLZ Pro Mixer (made in USA), Cakewalk Sonar Platinum, Shure SM58 vocal mic.