Are you sure that it's a Secure Digital (SD) card, the one with the little switch on the side. There is another type card that is the same size, has the same pin connections and fits in the same socket but is without the switch and it definately will not work!

Question: can you format it in the keyboard?
If not try formatting it in the computor but make sure you choose the FAT file system on the format menu. (The default on the menu might come up as NTFS and that absolutely will not be recognized by the keyboard, it has to be FAT.Tnen put it in the keyboard and format it again using the keyboard. Then do a save (any Technics file, not a Midi or SMF) and see if that cures the problem.
Good Luck,