Ok, I finally solved this. For whatever reason, I could not set up connections
between my auto-detected USB MIDI devices in Audio MIDI Setup -- maybe it is just not designed for this, or maybe I'm still not understanding what to do. i.e., I could not connect my E-MU 0404/USB to any port on my MOTU MIDI Express 128.
However, I was able to configure the
individual MIDI interfaces (i.e. the E-MU or the MOTU, separately), using "Add Device" and then connecting between those interface devices and the newly added devices. This was the first time I had seen the "connectors" actually "take" and connect between entities within the Audio MIDI Setup utility, so that was a relief. Presumably doing this informs applications on the Mac how the MIDI system is set up -- I just thought it did more than that, i.e. allow direct routing between MIDI devices using just the utility itself.
I still don't know if I am meant to be able to connect a keyboard to a synth using just Audio MIDI Setup alone (what I had hoped), but I certainly can't seem to get that simple config to work and will have to resort to using some additional software like a sequencer. Not my preference, but c'est la vie.
Thanks for all the suggestions,
Stewart.