Normally, with a Roland, you have to be in Performance mode to be able to use their keyboards multitimbrally. I downloaded their manual and, typically of Roland, they don't explain clearly how to use the RD in performance mode and, worse, the RD does not have a Performance button unlike other Roland keyboards.
I suggest using the Rhythm/Song mode and try using a blank song. This should open up all 16 midi channels for sequencing. The problem is not with the connections but with the mode of operation of which the manual isn't a big help (RTFM doesn't apply in this case). Page 91 of the manual shows how to assign tones to a part - this is the section that deals with multitimbral operation.
hth,