I've been following this post with great interest.
I know it's perhaps a silly question, but are any of the floppies you're trying to use 'locked'? Looking at the label side, my SX-KN7000 Initial Data Disk has two holes at the bottom. On the back side, the right hand hole can be locked by pushing the 'write-protect' tab upwards. (They are currently both open).
According to the Manual, and I quote: "Storage is not possible when the tab is open. Storage is only possible when the tab is closed" so I was wondering whether an open or closed tab is preventing the disk from loading properly.
I've also looked in my SX-KN7000 REFERENCE GUIDE. MIDI is covered from page 31 onwards, starting with a MIDI Implementation Chart. I have to admit it baffles me, but obviously, you are familiar with it so maybe there is an answer to your problem listed there.
Hope this helps in some way.