Midi is only note on / off / CC data, it doesn't transmit audio at all.
Let's say you plug Keyboard A into Keyboard B using Midi out to Midi in, you set Keyboard A to transmit on Channel 1 and Keyboard B to receive in Channel 1. When you play Keyboard A, Keyboard B will also play as though you were pressing its keys at the same time, but it won't transmit audio back to Keyboard A.