This occurs because the PX-3 has the option for the user to separately control the internal sound source on the piano, or external MIDI devices.
Refer to "Specifying What Each Zone Controls" on page E-27 of the manual. You will see that you can turn on the EXT indicator light. Doing this will tell the PX-3 that you want to send program change over MIDI to your MIDI device whenever you change tones. If both INT and EXT are lit, then you should be able to change the tone on the piano and your other MIDI device simultaneously.
Once you have set up the zones according to your personal preference, you may want to store the settings in registration memory, as described on page E-34 of the manual.