Autoconfigure in works by sending a request out all available MIDI ports for keyboards, synthesizers and other MIDI devices to send back a system exlusive message back to DP explaining its identity.
DP has a built-in knowledge of hundreds of different MIDI devices, but can't possibly "know" every MIDI device ever created. So sometimes it just doesn't recognize certain devices.
Furthermore, some MIDI devices aren't made to repsond to this kind of request, so DP doesn't receive a message back.
Because DP sends a message and waits to receive a message back. You must connect the In and Out of each device to ensure two way communication.