Howdy John,
Since you're using the CME as the interface between your keyboard and computer, that (or some other name for it) is what will show up in your MIDI device configuration dialog.
If the device is not showing up at all in your MIDI Device Configuration, try switching the "In" and "Out" plugs of the CME cable into your Kurzweil. MIDI cables in general can be really confusing because the way they're labeled, they often want the "In" cable to go in the "Out" plug and vice versa.
If that doesn't turn out to be the issue, let's take a look at your MIDI Device Configuration. If needed, please take a screen shot of it and post it in your reply. But let's hope it's just that the cables are backwards. I did that myself in setting up my own MIDI keyboard
ttfn,
Sherry