@neilfein is correct in his comment. The mistake you have made is to set send to to be Xpand2. This should in fact be set to Oxygen 25. This is because Pro Tools needs to know where to receive input from, and where to send output to, in terms of your keyboard (i.e., it needs two-way communication).
In a USB-based keyboard, this doesn't really make logical sense - there is only one cable which acts as both MIDI in and MIDI out.
So why should you have to make these choices at all? These options exist because you could (in theory) be connecting your keyboard via traditional MIDI cables, meaning that your receive from and send to ports could actually be different physical MIDI interfaces. In this scenario, these settings make more logical sense.
To summarise, you need to set both your receive from and send to to Oxygen 25. Then it should work.
The link that @NeilFein provided also contains handy tips on using the MIDI controllers on your Oxygen 25 to control Pro Tools.