Please make sure your audio interface is setup for Studio One in Studio One > Options/Preferences( macOS) Audio Setup. One thing to note, a MIDI connection alone will not allow the monitoring of audio from the external device. Please consult the device's documentation for instructions on how to connect that device to a computer. Make sure your external devices are connected to your computer either by MIDI cable or with a USB connection. This also includes MIDI drum pads, drum machines that have their own internal sounds, and any device that sends MIDI Note Messages. External Instruments are set up globally and then are available for use in any Song.
In Studio One 5, an External Instrument is an external MIDI hardware synthesizer, workstation, or other device that can generate or manipulate sound.