@join re "expected behaviour" yes, I can totally understand how it came about, but as you say, it's not ideal ... particularly with the change in the mapping which is away on another 'screen' you're not looking at. It's a completely unexpected change in the scenario I outlined. I thought that first note in the chord was not being detected and I started messing with keyboard connections, before I discovered the real cause.
You will hear the selected internal sounds of the Sylphyo. If you want to hear sounds from the DAW, connect headphones to your device on which the DAW is running. See Midi Routing in the User Manual. See also "Rig Schematics" here on the forum.