Abe, I have a KN2000 and have no problems with loading MIDI files. The Kn2000 saves in MIDI 0 format but can load either type 0 or type 1, but it has a limitation of 40K max file size.
I use either "Power Tracks Pro" (very similar to CakeWalk) or Voyetra "MIDI Orchestrator". Both work fine.
Maybe your files have more than 16 tracks or channels. If so, you will have to merge some tracks to get down to 16.
CakeWalk should work fine, something else must be wrong.