You are spot on. Thank You for your answer. I just figured this out about an hour ago and now see your post.
SOLVED: It was the Korg. For whatever reason, when the songs are setup some midi channels are set to INT. Which is not an option from below.
From the Manual. (So no one else thinks it’s a Cakewalk issue)
EXT, EX2, BTH: During playback, the MIDI data recorded on that track will be transmitted from MIDI OUT to play an external sound module. When you use the KROME's keyboard or controllers, MIDI data will be transmitted to play and control the external sound module selected by Track Select. (The MIDI channel of the external tone generator must be set to match the MIDI Channel of KROME tracks that are set to EXT, EX2 or BTH.)
If Status is set to BTH, both the external tone generator and internal tone generator will be played and controlled.
@User 905133 I was just trying to record the MIDI out into cakewalk. Korg Krome EX saves songs in a proprietary .SNG file format of which there is no conversion to simple MIDI. Thanks.