You need to specify which Bank Select and Program Change values you want each of Cakewalk's MIDI tracks to use, making sure to use values that correspond to the desired voices on the PSR-E453. You may be selecting GM voices in Cakewalk, which will work for most of the channels because the PSR-E453 does have GM voices; but it won't work for channel 10 because the GM specifications use channel 10 exclusively for drums but the Standard Drum Kit doesn't have a Program Change value, therefore the PSR-E453 won't know what voice you want it to use for channel 10 and it will default to the GM Acoustic Grand Piano voice.
I have an old demo version of Cakewalk SONAR that I haven't started up in a while, but I don't have Cakewalk by Bandlab installed yet. Which one are you using?