Thank you Chris, JM, and DM for the direct hookup advice. As stated, it works perfectly using only a USB AB cable. One less piece of gear to fool with.
Be sure to download and install the PC editor and USB driver for your Korg MicroKey Air to change velocity and a number of other perimeters. While at it, you might as well install the Uninstall korg usb-midi device app. It is a very handy app to delete USB midi devices (both Korg and Non-Korg MIDI devices) when suddenly your Windows machine doesn't recognize a certain USB midi device as Windows can deal with only a limited number of USB midi devices.