Quite new to Sequel here myself, but from my experience so far, you must have your midi controller (keyboard) plugged in to your usb slot before you open Sequel (or any DAW for that matter). After that procedure, try this:
Open a new project, then add track. Choose instrument track and choose one of the instruments on offer. New Age Choir just as an example. The track should now be assigned and you should be able to play the sound on the keyboard.