Does your MIDI device look like this ?

This is a non-branded, low cost, Chinese made, MIDI cable usually found on E-Bay or Amazon. Unfortunately such devices either won't work at all with DXM or will only handle short MIDI messages like Notes.
DXM exchanges much longer blocks of data (sysex) with your synth which these devices can't handle due to various hardware problems - see this thread for more detail.
Note also that these devices rely on the so-called Class Compliant MIDI software driver which is part of Windows. Unfortunately the driver is not actually compliant with the official MIDI specification in that it limits the size of sysex messages to 255 bytes.
Many of the DX/TX synths send sysex much longer than 255 bytes so DXM uses larger buffers to manage incoming sysex.
In summary, avoid cheap MIDI cable devices and spend a little more to get a reliable, branded, device that will have its own fully compliant driver.