Thanks for your help, Steve! Other programs do it through settings, and you never have to think about it again. But the work around works for me! I saw someone mentioned a "midi through" function on reddit that supposedly solves the problem also. And I saw a guy's set up on a Youtube tutor...

Hi all, Happy Saturday. I have run into a wall using LMMS using Windows 10 and an m-audio keystation 88es connected via USB. I get sound using the keyboard. I see that LMMS works without a keyboard better. But for musicians, having to use a computer keyboard versus a music keyboard is a real bummer....