Sorry if I'm not helping here.
I've experienced a similar thing like you.
I like the piano sound of my PSR, but there is no PSR's piano sound vst.
So for the time being, in Cakewalk I made the midi notes/music,
then output it to the PSR with its piano sound,
then from the PSR audio out I put it to the line-input of my PC,
then record it in Cakewalk's audio track.