I struggled with this a bit too. Turned out that it was something weird with my device drivers and once I’d sorted that out everything worked quite well. For reference, here is a debug blueprint that I put in my level blueprint. It lists all the devices recognized as midi, tries to make a valid MidiDeviceController, then tells you whether that was successful. Then it attaches a debug event. Works on my setup - Win 10, UE 4.16 pre2, Allen & Heath Xone:K1.
Or copy and paste this pastebin code: Native Midi plugin debug posted by anonymous | blueprintUE | PasteBin For Unreal Engine 4