Check if the keyboard is listed in "File > Audio & MIDI Preferences" under "active MIDI inputs" and if the check box is ticked. If it is not there to make it active, then go to the Audio-MIDI-Setup of your macbook and open the MIDI window. If the keyboard isn't even listed there, then check USB cabling, especially if you are using a non-powered hub/port because the KB needs power over USB.
Keep in mind that the Player software needs some seconds to initialize its connection to the keyboard, you should see a little splash screen if all went good.