Hi Lloyd,
to be on the safe side, make sure that the Preset MIDI template "All Parts" is selected. (This will set "Local control" to ON automatically.)
Then go to [Menu] > [Line Out] and make sure that all Parts (on all pages) have a green Checkmark in the "Main" column. Note: The Line Out settings (the destination of each sound) can be accidentally changed by Registrations (e.g. if you use Registrations of other users). The only way to avoid this is to use the "Freeze" function. (Check only the "Line Out" box in the Freeze settings, press Exit, and then activate the Freeze button.)
P.S.
If you use the GNS-MS01 speaker system, make sure that in [Menu] > [Utility] > [Speaker/Connectivity] the parameter "Speaker" is NOT set to "Off" (but to "On" or "Headphone Switch").
Best regards,
Chris