elektric piano vs electric keys

I assume you're running the kontakt player alone (not in a DAW). There's a LOT to understand when it comes to using this software so I suggest you read the manual to understand the concepts and settings. But the first place you need to concentrate is to get the audio working which is accessed through the File menu → Options and set the values for your computer setup.

The first thing you need to understand is that an audio interface is only useful for playing audio and MIDI, by by definition, doesn't produce audio. It is only a digital representation of the notes you want to be played and doesn't produce audio until it's processed through some tool or utility that converts those MIDI notes into audio. So yes, if you want to hear what you're playing on your MIDI keyboard it needs to be connected typically through a USB connection to your computer where you're running something like Kontakt with sampler library such as Wurlitzer library that can convert your MIDI keyboard notes into an audio output and sent out of your audio interface