When AudioMIDI Setup scans and detects your USB midi keyboard or module as an "interface". You can tell this, because the "in/out" arrows of the detected device are on the bottom, not the top.

The solution is to "add device" and configure it as you would a keyboard or module, setting the necessarry send/receive channels. Then connect this new device's arrows to the detected device's arrows.

Now you should have midi communicatio with your USB keyboard/module.