David,
Unless you've seen instructions that say so, I wouldn't assume IN on the device goes to IN on the synth, in fact I'd assume the opposite, because that's how MIDI devices are normally labelled - IN normally means MIDI IN to this device, and OUT normally means MIDI OUT from this device.
I have an M-Audio Uno, which as built in MIDI leads labelled "To IN" and "To OUT", which still tends to confuse me because I don't always notice the "To" if I haven't used it for a while.
- Andy
AndyHornBlower