Hello,
You may need to install a driver. You can connect the Fantom directly to the X6 via a USB cable or by connecting the MIDI In/OUTs and using the UM-One.
Here is an explanation from Roland.
Roland Fantom X6 MIDI
Also just in case, make sure that you have the out connected to the in and the in connected to the out of the UM-One. In other words, just try switching DIN connectors and see if it helps.
UM-One articles
Happy Holidays!