There are two common reasons why you would hear an unexpected sound blended in with the intended sound while playing the keyboard.

1. is local control=on inside the W5.   This means that you are accessing the soundbank local (inside) the keyboard and hearing the channel currently selected there along with the track you have record enabled in Performer.  Go to -->Utility on the W5 -->MIDI Setup --> and turn local control= off.
Now you are only hearing the sounds that are routed through the MIDI Time Piece.

2.  Inside the MTP software you can have a "direct patch" at the same time as the computer setup.  The computer setup will play the channel that is record enabled in Performer while a direct patch from the W5 to another sound module will play the sound on that module that corresponds to the channel selected on the W5.  Direct patch can also be called "patch thru, direct echo,or echo MIDI channel" by different programs but it means the same thing, the channel selected on the controller (W5) specifies which channel of the directly patched sound module (Proteus, Kurzweil) you will hear.