This might not be of any real help as I don't have a Pa5x or a Macbook but I've been 'experimenting' with my Pa1000 and Windows 11 laptop. I used IK Multimedia's Hammond B-3X standalone virtual instruments and had no problem getting it to play with a single USB cable between the keyboard and laptop. But, like the OP, I could not get either of them to play back through my keyboard.
I've come to the conclusion, perhaps wrongly, that the problem is with the Korg USB-Midi driver. The Pa1000 shows up as the Midi Input device but on the output set to ASIO, no Korg USB driver shows, although others like Technics, Tascam and Yamaha Steinberg appear. So I decided to use my Behringer UMC204HD USB interface to see if that would work.
I just noticed as I was typing the above that Biggles had also being trying to get his Pa5x to work with his Macbook.
Here's how I managed to get some measure of success. I connected a midi cable from Midi Out on the keyboard to Midi In on the UMC, ran a USB cable from this to the laptop and also ran audio cables from Line Out on the UMC to Line In on the Pa1000. On the Hammond settings, the UMC is set as both the Input and Output devices.
Voila, I'm now getting sound from the Hammond and the Pa1000 playing through the keyboard and I'm able to balance them with the Audio In volume control. The only Midi Presets that seem to work for this are Default, Master Kbd and Accordion 1. The expression pedal controls both the Pa1000 and the Hammond. Of couse, no sound from the laptop will play through the keyboard if the Audio In Mute button is On.
I hope this might be of some help.