Welcome.
Any sustain pedal should work. It's basically just a foot operated switch. I bought the M-Audio SP-2. It works really well but suffers badly from 'floor creep' on my laminate floor. I've been thinking of buying a rubber floor mat to put under it.
The MIDI cable you linked to is a USB MIDI interface for connecting computers to old synths and workstations which do not have a USB connection. It is not what you need. Personally I would connect the KeyLab Essential direct to your computer with a USB cable, but if you're intent on connecting it to your Focusrite, you will need a regular DIN to DIN MIDI cable like this one:
https://www.amazon.com/Monoprice-MIDI-Cable-Connector-Molded/dp/B009GUP7U8/ref=sr_1_3?ie=UTF8&qid=1549320701&sr=8-3&keywords=midi+cableYou will also need a 9V DC mains adaptor (wall wart) to power the KeyLab Essential, because MIDI cables do not carry power, only digital data.
Given that you are not intending to use your KeyLab Essential with legacy MIDI gear, you really would be far better off just connecting it directly to your computer or to a USB hub, which will eliminate the need for old-fashioned MIDI cables and a separate power supply.