My apologies, I originally didn't reply to your post as I know there are others much more in touch with this side than I am. Then I lost track of it and hadn't noticed it has not been answered. That said.....
Have you done any searching here before you posted the problem for us to solve for you? This sort of thing has occurred many times all over the internet and been reported quite a few on this forum. There is also reporting of this very interface type on the Windows app home site at ctrlr.org. Granted it was in the earlier days of the app but the info is still here. If this is similar to your interface:
HDE MIDI Interface your problem is simple, you are using a cheapo Chinese MIDI interface and these plain do not work in our case! I have one exactly the same as this myself as I went down the same route as you with the same results. I have posted on the problem a number of times.
The app uses a particular aspect of MIDI called Sysex, (System Exclusive messages). This allows for the programmer to define custom messages not tied into the MIDI specification in order to make his application do unique tasks. It allows larger blocks of data to be sent and is an absolute necessity for the GM app to work. To support this, the interface hardware must also have the ability to buffer, (or store), that increased amount of data until the other devices are ready to use it, at which time it can then dump it and take in the next block. The cheap interfaces such as we bought do not have enough storage capability in their buffer for Sysex data! Full stop! There is just no way to make them work.
Apart from that limitation the Chinese interfaces are fine. I use mine to work on my PC and set up my Line6 Variax JTV-59 guitar and it works without any issue. Sadly, not for us using the GM app.
You will need to look for another interface and make sure it can handle the amount of data. Most types can do nowadays, just not from the Far East at those very low prices. I was surprised to find that I could use my existing USB audio interface, a Lexicon Lambda, which had MIDI capability in it and it was good enough to support the app perfectly. The whole MIDI standard is archaic now and these issues represent attempts to keep it running as so much equipment uses it already. It is slow and basic and is easily surpassed with modern hardware and programming. However, the idea of getting today's manufacturers to agree on another standard is an absolute nono! It will never happen again so we make the most of it and soldier on.
On a final note, please remember this. We are an unofficial site here. We make no money in any way from posting out info and experience. I spend what most people would class as a silly amount of time responding to everyone's questions and ideas, though in reality it doesn't take me too long as, amongst other things, I have typed code for a living so can get things down in a very short time. I have a long lifetime of experience in an area of expertise at a high level which I make available to anyone who can benefit from it. Most people don't give what I say any thought as it is often in direct opposition to the money making myths which surround the music field. C'est la vie, I just try to help! In doing that I always make sure to give a very thorough and full response to any issue so the information and its proof of concept are then clearly available for others to come across later as they search for real solutions and that way I would (haha) not need to rewrite it all again.
That requires two things of all our members. Firstly, they should be prepared to do some of the footwork themselves first to see if they can solve their own problem or find previous solutions. Secondly, they should be prepared to actually read and think about a considered and clearly worked out response giving them real advice from someone who writes in good old clear English, uses correct spelling and punctuation to try to keep things readable and unambiguous, does not start every post with "Hey Doods" or "Yo Bros" and carry on downwards in clarity from there, does not start every sentence with "So...", and uses no military or gutter acronyms, IYGWIM. You would be amazed at how many people repost to a reply not even having read what I had responded. More than three lines on a mobile phone screen???? "so nah doods thaz brainfreeze bro" Now THAT is frustrating!