Hi!
Hmm.. This problem sounds familiar but it was on the PSR620 I used to own. I had exactly the same thing happen where when I was saving my compositions, little did I know I was only saving the chord changes, sound preferences and sounds, not the style that went along with it or anything that resembled a midi file, but I could save it in SMF format but it did not play back as a midi file elsewhere. I later learnt that the PSR620 didnt have the ability as its sequencer was not designed for creating midi files but could play them back though (its sequencer only had 3 tracks - not like nowadays where its 16).
Maybe this relates to your problem, is the KN1500 not an old keyboard as well as being mid range?
Danny (UK)