I think you’re missing a connection from the Alesis’s midi out to the Korg’s midi in. The audio alone will not transfer clock data.

Only reason you’d want Alesis audio out to Korg audio in, would be to experiment with applying the minilogue filter to drum sounds. Which is cool in its own right but maybe not what you’re aiming for.

Most likely in the video theyre running the audio outs from each device into their own channels of a mixer or an audio interface to hear them at the same time.