Sorry to bump a dead thread, but this was one of the first results when searching KeyStep and MIDI.
As far as I can tell, this isn't possible. I have a couple notebook pages filled with diagrams of possible configurations, and although I tried each of them out I just couldn't get the KeyStep's Thru to act as a liaison between the computer and the old device. I had to use an Audio Interface and two MIDI cables (One Out one In) to get my old gear to communicate with my PC and then I used a MIDI Merger so both the KeyStep and the PC can communicate use the old device at the same time.