Chris has given you a nice “how to” set of instructions, but the bottom line is here that the keyboard doesn’t know which functions to control with which pedal until you tell it. As Chris said you can assign settings like this to a set up registration. Although default settings might work well for many people, it’s a good idea to make a set up registration with all your favorite set ups - pedals, split points, fingering mode etc etc - which you press every time you start up. Then you know the keyboard is ready to go just the way you like, and it’s also a quick way to restore it if you change things. In fact you can make a couple of registrations if you have some repeating preferences. For example my own starting registration sets my 4 pedals to accmpnt stop/start, tap tempo, sustain, pitch bend, my fingering mode to AI full keyboard, and my starting voice to Grand piano. I have a second which sets everything the same except fingering mode to Fingered on bass and split point to B below middle C. I can then easily shuffle between the two.
Mike