apart from getting the thing connnected (lets assume that's already been done) the question you seem to be asking is:
Can you use the keyboard sounds in FL, while using the keyboard as a midi controller? i would have to say no. only because using the keyboard as a midi controller is just that. it will only place the sound where you want it (start time, pitch, velocity and duration - as stated before) if you want the actual sounds from the keyboard to be used, you would have to record each sound individually and save them as a .wav file, and then put them in a FL folder to access it from FL directly... even then, when you go to use FL and those "new" sounds, assuming you are back to using your keyboard for a midi controller, they keyboard is now at the samples' mercy.
do you get it now?
here's an example - open up FL and load an FPC drum pad, or FL Keys or whatever you want. then, without even having to hit play, or record or anything... just start hitting keys on your computer's keyboard (the one you use to type). if you notice, you will start to play notes (or drum hits if that's the case) with your typing keyboard. a.k.a. it is acting as the midi controller. now - your musical keyboard is doing the same thing. no "sounds" are coming from it, just the notes.
i'm over-explaining now i think,

, i'm done.
bless.