No metronome; also, use synth sounds?

[ProAmSpain]

Sibelius Artist.
I have two keyboards: one is an old, fully-MIDI capable Yamaha CLP250; it sends and receives on all channels; the other is an Alesis Q49 MIDI keyboard.
With the Yamaha, I hear the sounds from there, despite having chosen the Sibelius First sounds as default; MIDI indicator lights up in Sibelius and records the sounds. I can't hear a metronome when I record, so the notation is useless.
Similarly with the Alesis (except I don't hear any sound as it's a dumb keyboard). Again, no metronome.
Yes, it is turned on. Why can't I hear it?