Load the Halion VST as a track instrument and create a MIDI track for it.
When you play on the keyboard can you see activity on the MIDI monitor?
If not, then check your physical and soft MIDI connections.
If you can see activity check the MIDI routing and track monitoring settings on the track inspector for the MIDI track:-
Is the Halion VST routed to an output bus?
Does the MIDI track routed to the Halion VST have its monitoring turned on?