Results so far:
MIDI-Thru was broken (by design), but the fix was easy. One cut trace and one jumper wire and it worked!
Some of my keyboards did not work when connected to MIDI-IN. Turned out my CNY17-2 was broken. Swapped for a good one and now it works with all keyboards I own.
As for the software, I tried MIDI Sequencer (SEQ.COM) which works perfectly, has a kind of tracker-like interface, but is MIDI-OUT only (no recording).
MIDIREC, which was specifically written for this interface, plays back OK, but recording seems to miss the timing information. Replaying what I just recorded just dumps all events to the interface, w/o any timing, which sounds like a burp of all the notes played at once
So, basically, recording sort of sucks, replay is fine, thru is fine.
Going to try other MIDI software later (and also see if it needs patching for this interface).