Hello,
without going into too much detail (you can do your own research), but just to point you the right way, the problem is that midi carries no audio information.
Midi is data, i.e. pitches, durations, velocities, controllers on/off, etc. used to command / control equipment.
What your keyboard is sending to the helix via midi is not the sound. it's the info on which keys you are pressing.
You can control your helix with the midi coming from your keyboard (turning effects on/off, changing patches, parameters, etc.) but there is no audio there to be processed that's why midi can't be an input to be processed by the helix.
If you want the audio coming from you keyboard to be processed by the Helix you will indeed need to go the analog wiring route. The most appropriate input on your helix would be the aux in and not guitar in.
Hope this broad explanation helps.
J