This thing is really strange. You can transpose the midi file just fine, but the keyboard doesn't change. In other words, if the song is in Bb, and you transpose it up 2,the song plays in C, but you must play in Bb to play with it,
If you transpose the Keyboard by changing that setting, the song reverts to the original key and the Keyboard changes. In other words you can do either, but not both.
Unless you do it like the others said and transpose the whole keyboard before you go into playback mode.
Very strange. I'm glad I play most of it live.
Wish I could help, but it seems this may take a software fix.
Don