Hey @Will Did you ever figure this out?
I seem to be having the same issue. Like you I can get sound from the computer to the keyboard using test mode in Audio MIDI setup app but I get nothing back from the keyboard.
My setup is an iMac running OSX 11.1
Roland EP 85
FORE MIDI to USB Interface MIDI Cable Adapter
Of note, the MIDI cable has a three LEDs. 1x Red - which is on as soon as the unit is plugged in; 2x blue - one of which lights up when there is a signal from the computer. The other blue I presume should light up when I press a key the keyboard, but this doesn't seem to be the case.
About 15 years ago, I had a working MIDI set up on this keyboard using ROLAND UM-1 MIDI/USB adapter + macbook + garageband.
Any help appreciated!