In case anyone else has this issue and quitting other software (most importantly, MIDI Control Center) doesn't work:
I had to delete a controller I no longer use from the MIDI Devices window and then reassign the ID number of the previous controller to the Keystep 37. Once I did that, the error disappeared and my KS37 was recognized.
Also necessary: Enabling "send clock to output" in the MIDI outputs section of MIDI Devices if you want sequences to be slaved to Reaper. Equally important: turn that option off during ordinary tracking.
Now if only I could get the CC knobs to control Pigments and other software synths. So far, I can't seem to do a basic filter sweep with Knob 1, which is assigned to CC#74.