I don't know when this question was originally posted, as 'spammers' have been messing with the forum.
This device seems to be fairly simple, so maybe the problem can be determined.
First of all, how are the devices connected. Hopefully you're NOT using one of the dubious USB to MIDI connectors, as that can mess with the data.
Secondly, the instructions seem to be saying that you should do a reset first, I guess to make sure any previous settings are removed. Have you done this?
Then, as any setting instructions are received, the device should respond with rapid flashing of the LED for a second. Do you see this?
How are you sending the SysEx messages? Are you putting them in a midi file and 'playing' that file, or are you using some software to store/send the data. Please show the data you are sending.
Then we'll go from there?