Cannot get MIDI receiving data on Yamaha P-140

I've been trying to get piano MIDI data, recorded from my Yamaha P-140, played back and heard properly from the P-140 but I don't hear anything.

I know the MIDI data that's recorded is working because other VST instruments are able to play it in my DAW (Reaper). But my P-140 can't play it back.

I'm trying to follow the manual and it says that the default channel setting for RECEIVING data is 'ALL' so I figured it would just hear any recorded MIDI data (since the TRANSMIT default setting is ch. 1) played back but I hear nothing.

Any ideas?

- Robin