You can hear audio when an analog track is enabled, because you've provided a "routing" through the 828. Without telling DP to send an input to output, you'll never hear anything....
UNLESS, you do one of two things:

1. Using the 828 Control Panel, set the Monitor Input to the analog inputs on the 828 you have the keyboard connected to. See page 7 & 37 of the 828 User's Guide. On using Monitor Input.

OR

2. In Digital Performer, create an AUX track instead of an Audio track. Set the inputs and outputs the same as you would set the Audio Track. AUX tracks are the same as Audio tracks, but don't record. They simply provide and input-to-output "routing" within Digital Performer.