It seems that you haven't looked at the MCC program (Midi Controller Center) which comes with the Keylab (though it's been a while, you might have to download it - It's free.) MCC allows you to control the keyboard, change settings for the controls and also includes the ability to use VEGAS ON or OFF function.
You need to connect your keyboard to your computer, start MCC (don't have any synths running at the same time... Why? I don't know why it can't but, Arturia must have a reason.) From there, you will need to read the manual so that you can understand the functions. You can program different control functions and save them as different MAP SELECT buttons (Drum pads) or as User Templates, which allows you to have various programming for different projects or instruments or DAWs etc.