Sometimes depending on if you are using the Kurzweil with a sequencer, the kurzweil can go into a Local control OFF message - which you change by
1) hitting the MIDI button
2) scrolling down the page to the option of CONTROL (not CTLsetup)
3) and making sure that this does not say MIDI
this needs to say either LOCAL or BOTH

What happens when it is in MIDI mode is that the machine is waiting for a volume controller message to come from an external souce like a computer sequencer...