First of all: You'll have to understand the difference between audio and midi. Maybe here:
http://www.bulletsandbones.com/GB/FAQPages/AudioNotMIDI.html
Midi signals are not sound. So the basic question is:
• Do you want to use your keyboard to trigger GB's internal sounds? (-> Midi connection)
• Do you want to record sounds that you play on your keyboard (-> Audio connection)
• Do you want to trigger your keyboard's sounds with midi stuff that you recorded in GB (-> not possible in GB, only with a plugin)
So let's assume you're trying the first option. That implies, according to your numbering:
(1) Forget the Sound prefs, you're not transmitting sound
(2) Midi setup seems to be fine, since GB is recognizing your interface
(3) There's no need for any setup in GB - it's listening to all midi channels when you press "record"
So, with your keyboard connected and recognized - have you set up a software track? Do the little LEDs light up when you play notes?
Since the interface seems to be fine - if you don't register any midi data coming in, I guess it must be your keyboard not sending data - and sorry, I'm not familiar with it, so I can't offer any help on this but ask: You're sure you plugged the round midi plug into the "midi out" jack of the keyboard?