Now that I've thought about it...
1) Use the modem port if you can. Make sure that CZ librarian is sending to the correct port (MIDI setup?).

2) Remove the ESI from the chain, so that the MIDI i/o of the Casio is the only thing connected to the MIDI i/o of the Yamaha. The program uses handshaking; it gets acknowledgements from the Casio while transferring sysex., so it won't even start if it doesn't detect a CZ.