Hi Tonkan,
The KN5000 includes a detailed MIDI menu screen page where you can set and customize the following MIDI setting:
1) Part Settings
2) Control Messages
3) Realtime Messages
4) Common Settings
5) Input/Output Settings
6) Midi Presets
7) SysEX Bulk Dump
8) General Midi
9) Prog Change Midi OUT
10) Computer Connection
11) Midi Settings Load Option

The KN5000 has three midi terminals:
Midi IN (midi data frm another Midi device)
Midi OUT (midi data transmitted from KN5000)
Midi THRU (midi data directly from Midi IN)

If you want to "merge" the incoming midi data with the KN5000 midi-OUT data then you need to build or purchase a simple inexpensive "midi-merge" box. Just connect the Midi-Out and Midi-Thru on the KN5000 to the two Midi-Ins on the "midi-merge" box. The Midi-Out on the "midi-merge" box should then give you your desired merged midi signal. As far as I know, there is not an arranger keyboard out there which can merge the incoming midi data with its' outgoing midi data without the addition of a "midi-merge" box.

Check out Midi Solutions: http://www.midisolutions.com/prodmrg.htm

Good Luck,

Scott