Does the JV work if you plug directly into it from the M-Audio interface? If not... check your cable! Always check cables first (especially midi cables, which I find have a talent for dying at the exact same moment that you change something else in the setup in order to shift the blame).

If the JV does work like that, you may have the option to keep that setup. Do you actually plan to use any of the on-board sounds from the Roland, or just use it as a midi keyboard? If its the latter you just need 2 midi cables; one from the keyboard midi out to the M-Audio midi in, and another from the M-Audio midi out to the JV midi in.

If you want access to both units as sound modules your original configuration is correct (assuming all midi cables have tested ok!) but you will need to make sure the "local control" option is turned off on the keyboard so that the keyboard and sound module parts of it work independently: you would then use the DAW to route the midi back out on the relevant channel when you want to play the keyboard's own sounds.

However, I would recommend that you add another midi interface to your setup, assuming you're using sounds from both synths. M-Audio do some affordable ones with just 1 or 2 ins and outs. That way you could dedicate a midi output to each sound module, which would double the number of midi channels available, tighten up the timing, and would mean you didn't need to use the midi thru port at all.