Only one key zone can be selected at a time. A selected key zone is indicated by a light blue (as opposed to dark blue) strip above the keyboard in the display. There are two ways you can select key zones:
By clicking on an unselected key zone in the display.
By activating the "Select Key Zone via MIDI" button.
Playing a note belonging to an unselected key zone from your MIDI keyboard, will select the key zone it belongs to.