Hi there,
It is indeed a very exciting prospect controlling a real analog synth from the keylab. I think it's highly unlikely that it will damage your synth and highly likely that it'll work. I think Korg is hz/octave, so just make sure you open midi control centre first, click on the "pitch out" image and set it to hz/octave.
I've got it working with my Realistic/Moog MG1 and it works great - finally I have a pitch bend and 61 keys to control the Moog with.
One thing I haven't been able to figure out is how to use a step sequencer such as Ableton to control it. I've only been able to play the Moog live from the Keylab keyboard. It does not seem to respond to Midi out from Ableton. This is a bummer, as I was very excited about being able to step sequence my Moog, leaving both hands free to tweak like crazy! I'm interested if you ever got this working: if you did, please tell!
The Analog Lab sounds are great, but nothing beats a real analog synth. I actually think the knobs and sliders on my Realistic/Moog are better than the ones on the Keylab, or at least they are more usable and it feels more like a real instrument. I find the keylab ones to be stiff and have too much travel, whereas the MG1 ones are like butter and are just the right size and travel. Could just be personal taste though. I think the filters on the MG1 sound better and self oscillate more than the ones in the Arturia Minimoog, but possibly that's because (dare I say it) the MG1 filter might actually be better than a minimoog's! Either that or the Arturia Minimoog filters aren't quite there, which is a bit dissapointing as I believe Arturia are the leaders in this field.
If I ever buy another analog synth, the Korg MS-20 Mini is right at the top my list. I have a light-side synth (Moog), now I just need a dark-side synth (Korg). Is it playable compared to a full size MS20?