Pyramid incompatible with M-Audio?

I have the same trouble using a keystep. It is driving me crazy.
Basically all I have atm is keystep midi out to midi in on the pyramid. Then midi out (port a) from pyramid to midi in on the virus. Again, midi channels are the same on all devices.
How hard should such a simple thing be?
Currently waiting for a reply from Squarp.

Someone mentioned a midi thru box. Could you please explain what I need to do with it.

Cheers