Connecting Midi Controller to Macbook Pro 2018

I have an M-Audio Oxygen 49 Midi Controller and a Macbook Pro 2018 Model. I have connected the two using the USB cable supplied. When I plug it in the power light and the Global, PGM and Presets lights comes on.

However when I open Garageband and open a new project, with a new software instrument selected and select any of the instruments there is no sound playing.

I am using Mac OS Big Sur 11.3.1

Can anyone help please?

Thanks.