I'm not sure what the exact problem is, but I suspect it might have something to do with all of the voice-related and effects-related parameters that get set whenever you select one of the keyboard's preset voices. There are a number of parameters which can affect the sound of any given voice, and each preset voice has specific default values for all of those parameters. When you select a voice in a MIDI file by specifying the corresponding Bank Select and Program Change values, those other parameters will usually need to be set as well, otherwise the selected voice might sound different than expected.
When you're working with MIDI in a DAW, there are generally two different methods for setting all of those parameters-- as initial track settings which are saved as part of the MIDI track's "header" information, or as "automation events" which are saved within the track itself.
Depending on the DAW, there might be a limit to what sorts of settings (i.e., MIDI events) you can specify in the track's initial settings. For example, I don't remember how many MIDI track settings Ableton Live has, but PreSonus Studio One lets you pop up a screen where you can set all sorts of MIDI parameters, and you can add or subtract specific parameters on that screen depending on which ones your keyboard responds to.
Otherwise, if you must set parameters as automation events, you'll need to add the desired events to your MIDI track(s) at the very beginning of each track-- that is, assuming you want them to be in effect for the entire track.
What you might want to do is set up the voice(s) on the keyboard itself, then start recording in your DAW and use the "SendInit" function to transmit the settings to the DAW so they get recorded.
However, be aware that Ableton Live, PreSonus Studio One, and Acoustica Mixcraft do not support SysEx messages, so any parameters which are set via SysEx messages-- such as Reverb Type and Chorus Type-- cannot be recorded in those DAWs or transmitted back to the keyboard. There might be other DAWs which don't support SysEx messages, but those are three which I know do not. As far as I know, most commercial DAWs do support SysEx, but you should check your DAW's user guide to be sure.