You CAN play an SMF playlist, but it has some drawbacks. If you select a MIDI file from its 'My Songs' folder then press the Quick Menu button, one of the options will be 'Play all songs in folder'. Press that and as soon as one file finishes, the next one will start.

But here are the drawbacks... for starters, you can't reorder the folder without renaming the files. They play in alphabetical order from wherever you start.

Secondly, the SMF will not call up the Keyboard sounds. The Performance is the thing that does that, and there's no way for one Performance to move automatically to the next one. You CAN move from one Performance to the next while it's playing, but it doesn't change the 'resource' (the SMF or audio file). You have to stop the song, THEN select the next Performance which then loads the resource.

The exception is playing styles, where changing the Performance will change the style while still running (unless you use a Perf. Lock to 'hold' it).

Can you explain why you want to move through a set automatically?