the thing mine doesn't do and yours does is often missed - if you connect the keyboard to the Korg, so you can play it direct with the MIDI cable, then depending how you have the DAW set, the USB cable can go into the laptop, through the DAW and then out - meaning the Korg gets two sets if MIDI information. So you hit C2, and the direct MIDI cable plays C2, immediately followed by the one coming through from the computer. Two things happen - nothing, but it eats up your polyphony, or you start to get hung notes. You let go of the keys, and that C carries on playing. Even worse when you use pitch bend and controllers. What are you using the reverse connection for? The one that goes to the master keyboard? Is this to make the displays do things or patch ranges pop up? If you did this, you need to see if the keyboard has a setting that prevents the MIDI in being used as a MIDI thru - if what comes in goes out, then back in then out - you get a huge loop that will cause chaos. Same with the Korg. What will be coming out of the MIDI out that needs to go back to the interface? The way your diagram works, the DAW cannot send notes to the Korg, can it? Only via going back to the master keyboard which requires thru to be turned on - aaaaaaagh.
The computer, through the interface MIDI output needs to go to the Korg MIDI in 100% The master keyboard MUST got to the interface MIDI in or you cannot do the basics. To make the Korg make sounds therefore requires the DAW to send the MIDI coming in, out of the MIDI out. Cubase - my DaW does this happily, I'm sure yours will too.