One thing I just figured out is how to filter out the active sensing messages in MIDI-OX. Unfortunately MIDI-OX isn't showing any active sensing messages even without the filtering. The sysex messages that should come out when pressing "midi transmit? --> yes" (sys info set to available), can't be seen in the midi input monitor.
DX Manager is showing the continuos activity of the midi channel, but lacks the property of showing the type of the message. It just says "Midi long message error - invalid sysex".
The "strange" messages I was talking about are really strange... I mean that when I tweak the mod wheel, I get random midi messages from random midi channels. There's control change messages, start and stop messages, aftertouch messages, note on/off messages... The same occurs when several keys are pressed quickly, not meaning hard.
Oh, I should mention that the problem has been there since I bought the device about a year ago.
Thanks again!