Smithers - I think you are perhaps thinking a bit too much using modern ways kits communicates - there have been detailed and simplistic answers, but if it's still not settling, you probably need to go back a bit and then re-learn it. Let's try a different way, bu looking at a few common devices that use MIDI to talk to each other.
First thing is that unlike USB connections, MIDI is one way only. If it needs to go back, then that is a separate cable.
Master keyboard - simple or complex, but it sends MIDI data out of it's MIDI out socket. There is no MIDI inout or MIDI thru - because all it does is originate notes and other messages.
Sound module - no keyboard, so think about the common modules Yamaha, Roland, Korg and others make/made. Clearly these have a MIDI input - and most have a MIDI thru socket too. When we were using lots of modules, they could be programmed to produce just one sound - maybe a piano module, or an organ module, or a complete one - that had loads of sounds - often over a hundred. 16 available channels and 100+ sounds means you could set the module to do a piano on channel 1, and something else on channel 2 etc. The thru socket as mentioned above, is simply a repeat of what is coming in - identical, so this can go to the next module. If this one has a MIDI thru, then that continues the chain.
Synths with keyboard - this is where we start to get the confusion - firstly, you could use this as a master keyboard - but because it is sending data, you use the MIDI out. The synth will play it's onboard sounds when you press keys, and that also goes to the next module if you have one. However, if your output is going to a DAW, then the problems start. That DAW has to speak to the other devices. Master keyboards mess this all up, because rarely do they have an input. A synth, used as a master keyboard DOES have a MIDI in, so the DAW could squirt the replay audio in that socket.