Add 1) Click a second time on the key.
Add 2) First check, that your MIDI interface is enabled in the MIDI device list in the GO audio/midi settings.
Enable the MIDI logging in GO menu to check, that GO receives MIDI events - a MIDI keyboard should send 9x note events.
Right-click on the manual, "listen for events", press a MIDI keyboard key and GO should fill all values. Then press OK and it should work (manual keys move during playing).
Some keyboards (or also cheap USB-MIDI interfaces) inhibit a strange behaviour. In that case, please post the MIDI logging produced by GO while pressing/releasing a key as well as the detected MIDI settings.