You may not need an external audio device, but if you want external speakers and are after a certain quality of sound, you could set a budget and search online or in a music store for monitors. You can get better speakers than most dpianos have for a little outlay, or something better if budget allows.
The things to do if I was starting over..
a
If I was sure my computer's sound-card was not great I'd want to get hold of a reasonable "external audio unit" (there are many - depending on requirements for only a little outlay or a lot of money - take time to research and don't rush to get one for cheap because it has 1 feature they highlight.. chances are most have similar features now, and with more expensive ones comes possibly things you may not need as much as just desire).
b
Connect dpiano to computer so it can send MIDI (your Roland FX-10 has a USB connection for this, instead of an older MIDI cable).
c
Make sure the audio unit is plugged in (also via a USB connector), and any drivers it came with are installed (follow instructions of the manufacturer when possible.. for example, if they say "Install drivers, then reboot, but do not turn on device until after reboot" it's probably best not to try doing it differently).
d
If the audio unit came with no "ASIO" drivers (in some cases 'bad' ones have existed), then for no charge you can get "ASIO4ALL – low latency ASIO driver for Windows audio". ASIO is audio tech for low latency. Maybe you can live without it, but highly advisable for fewer glitches etc.
e
Make sure speakers are connected to the external audio device.
f
With Pianoteq installed and loaded, all things powered up, you should be able to hear your playing.
g
I'd be sure to get a graduated sustain capable pedal, esp. one with 3 pedals if one can be used with the fp-10 (I know they have a single pedal capable of half-pedalling, the dp-10, but not sure if other 3 pedal units will work with this keyboard).
That's the basics of the connect setup - beyond that, you can fuss soon enough with settings like 'buffer size' within your audio unit's settings and checking they match with with the same numbers inside the Pianoteq settings.
https://www.modartt.com/images/faq/asio--.jpg
It's possible to go for a long time with some aspect of your audio setup acting glitchy - hoping that helps you get started.
This "Pianoteq FAQ" page has many helpful hints if stuck for something.
Pianoteq Studio Bundle (Pro plus all instruments) - Kawai MP11 digital piano - Yamaha HS8 monitors