Windows MIDI drivers aren't multi-client, meaning, they can't "serve" multiple applications at the same time for the same MIDI port.
So, this is a natural thing to happen. If Reaper takes control of the USB MIDI Ports used by the KeyLab, then no other app can access it, like the MCC.
Likewise, if you start MCC before Reaper while the KeyLab is connected, Reaper won't be able to access it until you close the MCC.
On a sidenote, usually you'll use the MCC just to set things up on the KeyLab and then "forget" about it, only needing it again to do firmware updates to the KeyLab.
Some brands provide their own custom USB MIDI drivers that can support multi-clients (i.e. multiple applications using the same MIDI port). Arturia does this but only for specific products (like the PolyBrute, MicroFreak)