Press the MIDI button, and the 4th option is Control: MIDI, Local, or Both. Here's what these mean:

MIDI: Your Kurzweil will only play notes coming in via MIDI, while it will transmit midi from the keyboard, it will not play the notes played on the keyboard. This is the most popular mode for hooking to computer sequencer programs.

Local: Your Kurzweil will play as a normal keyboard, responding to all keys, but will ignore any incoming midi notes. This can cause a sequencer to be able to record from but not playback to your Kurzweil.

Both: Your Kurzweil will play BOTH the keyboard keys AND incoming MIDI. This mode can sometimes cause note doubling (which either sounds like a very short echo or phasing) due to your sequencer echoing back a note the Kurzweil has already played from its keyboard.