You are still confused about the topic:
You are dealing with a USB MIDI keyboard, that doesn't send out audio data so don't look at audio preferences (built-in audio, Mic, Airplay, etc)
The MIDI data is sent via MIDI port (8-pin connector) or a USB connector. Macs only have USB connector so you connect the your MIDI keyboard via USB. If it has only MIDI connectors then you need an additional MIDI interface that converts it to a USB signal.
Now to your trouble shooting.
As I pointed out before, first check in the MIDI window of the "Audio MIDI Setup" app. If you don't see an icon for your MIDI device then OSX doesn't see it (IAC and Network are always visible). You don't have to manually add a device to it, it is recognized automatically. If not, then there are a few reasons:
Connection: Your device is not properly connected
Driver: OSX requires a separate software (a driver) to recognize some MIDI devices that don't follow the standard OSX protocol. That driver is either not installed or not up to date. Check your device manual if you need one and where to find it.
Hardware: Maybe you have a hardware problem. The device or the connection are faulty.
Hope that helps
Edgar Rothermich