In the Program settings, Audio/MIDI tab, playback, top selection, user Asio4All, click on Advanced and make sure that the correct playback device is selected. Probably not important, but will be if you have more than one way, say, by using wireless headphones or an external audio interface.
When you play on the screen, make sure that the button MIDI REC is on for the track with the instrument that you want to play. Do not use the keyboard at the bottom of an instrument for recording - it is for demonstration only; use the Music Maker keyboard in the bottom window under the Keyboard tab, or an external keyboard.
. . . . If the MIDI Rec is turned off than the Concert Grand LE disappears in the keyboard window . . . .
Do you mean the Concert Grand Interface seen in the image below?
If so this does not happen for me when I turn off MIDI REC, nor does the instrument name disappear from the keyboard, I actually turn the interface off before playing/drawing MIDI notes, it can be turned on any time by clicking the gear icon indicated below