Well I, having only a very basic MIDI keyboard, and having absolutely no experience with KORGs can't help you out that much.
I was having problems with getting my keyboard hooked up to reason - I just had to keep on re-installing and kept on trying to add the keyboard, and eventually it worked. But I had to keep my keyboard plugged in at all times
Anyway, this doesn't really have much to do with Reason, we aren't the right crowd to help you with your problem. I'd recommend e-mailing KORG support (there's gotta be some somewhere) or asking for advice on a different forum, one related to KORGs or MIDI.
Regards,
Titancow