I just bought a MicroKORG XL+ and have plugged in the power adapter and turned this on. The volume is up but it makes no sounds. Does it have its own speaker? Or do I need to have this connected to an external speaker/amp/headphones?
It doesn't have its own speaker, you'll need one.
In the back it has an output section with 3 outputs labeled as: R, L, and headphones. You can use those to connect the microKORG to amps, speakers, or headphones.