I'm having the same problem. Punch a key on a keyboard, and the corresponding MIDI note triggers the correct scene. I try it through Sonar on the same channel and note and, well at least your DMX is responding. Mine doesn't do anything.
The only way mine works is with a straight MIDI cable from keyboards OUT to the DMX's IN. When I use a PC MIDI cable plugged into the sound card's MIDI port. The DMX doesn't respond. Yet I can plug the same cable into a keyboard and it responds, so I know there's MIDI data going out over the wire. This really sucks.