It sounds to me like you should be using a DAW. You can use a virtual MIDI cable to route the output of Synthesia to the MIDI input on a DAW. There are a few different programs that can do this, I've used this one: http://www.tobias-erichsen.de/software/loopmidi.html
Not quite. I bought this one from Amazon: https://www.amazon.com/gp/product/B01487ZA3C/ref=oh_aui_detailpage_o01_s00?ie=UTF8&psc=1
It doesn't have that middle conversion piece.
I worked my way through most of Casio's manual and I noticed that the keyboard's channels make a big difference. When I turned some channels on/off, I was getting no response from either the keyboard or the MIDI lighting indicator, while other channels the output worked perfectly, and others the output would work only for the left hand only (and not the right hand). I don't know enough about channels yet to understand what they all mean, but I feel like I'm getting closer.
On Amazon's US store listing for the same cable, there is a worrying percentage of 1-star reviews. Even the description there alludes to something along the lines of "the last time we tried to sell a cheap cable, everyone complained about incompatibilities, so here is a new revision that should fix some of the problems..."
Judging from the 1-star reviews, there might still be some problems remaining.
The first page of this forum topic has a few interesting links that dig into why some of this happens. To cut costs, these manufacturers are omitting several components from the circuit specified by the MIDI Manufacturer's Association. So, while they might work with some (tolerant) hardware sometimes, you can run into strange situations where plugging the exact same adapter into a different device (or even just a different port) will yield negative results instead.
Thanks!
What I am currently looking at is this. Do you think this would work or would I theoretically need three two wires instead?
I've ordered another midi adapter and will post my results once I get the cable.
Cable bought -
iConnectivity midi mio 1-in 1-out USB To MIDI Interface for Mac and PC https://www.amazon.co.uk/dp/B00CO5IRSG/ref=cm_sw_r_cp_api_i_-BbnBbMW5P2X8