You're not doing anything wrong as such. You are operating in a sort of test mode, i.e. sending the notes in a raw form, and this may well be sending the note ON, but not sending the necessary note OFF. The KX device probably NEEDS the explicit note OFF. The casio device does not. appear to need this.
On the KX, maybe there's a default note duration that is not set.
Can you create a midi file, and ensure that that contains the relevant note ON and note OFF commands, and see if that works OK on the PC/KX setup?