You need to connect the MIDI OUT of your MIDI controller keyboard to the MIDI IN of one of the sound modules, then connect the MIDI THROUGH of that sound module to the MIDI IN of the other. You'll need to put each sound module on a separate MIDI channel.
The MIDI output from your track in the DAW software will need to output on the MIDI channel assigned to the appropriate sound module it's sending MIDI to.
The more sound modules you add the more latency you'll get with this style of "daisy chaining" equipment. If so you may wish to use a MIDI hub.
Sound connections look fine, assuming you have a mixture of line level and mic pre inputs on your audio interface. Which audio interface is it?