I ran into a similar situation. It drove me "nuts" for a while. There is a new feature that the Props added. It is great by itself. But they didn't notify people in some very obvious place of this change.
You need to make sure you set the MIDI in your preferences and the BUS. Click the ADVANCED MIDI button on the far right. Then select the ADVANCED tab and indicate which external hardware you would use. Match the midi port to the BUS. For example BUS to Midi port 1. Close the preferences.
At the top of your rack, you have a HARDWARE INTERFACE module. Open it up. Click channel 1 and right click the button. Now you can tell Reason which keyboard or instrument to match to that channel. You will now have sound.