Rog and Joe, as has been stated, you cannot load MIDI files directly into the area which the Style Files occupy - or indeed any of the Technics File areas - to allow the use of the Technics Alphabetical search. The two formats are just not compatible.
Alec's method of pre-selecting the MIDI files into Alphabetical Groups, before copying into Playlists, will produce a simple alternative to the Technics search and is the easiest solution. It does require a bit of effort to pre-organise / select the files into groups, rather than just grabbing a bunch of randomly named files to process into Playlists.
However, as has also been mentioned, there is a method which will allow Alphabetic searching using the Technics system, but it is a bit long-winded, if - as in Joe's case- the user has very many MIDI files. Unfortunately, you can only process one MIDI file at a time, rather than multiple files in a single transfer operation, using Alec's procedure.
Load the MIDI File (Which is normally a Sequence) into the KN7000 sequencer as an NX file ( GM/GM2 > NX) and then re-save the Sequencer as a Technics Sequence. This also allows you to carry out some modifications to the MIDI file - should you wish to do so - such as transposing the key and also substituting the KN7000's superior sounds for the generic MIDI sounds, before you finally save the Sequence to a Technics Folder on the SD Card. Note that there is no point in selecting any options other than 'SEQUENCER' on page 2 of the SD Save dialog - just select 'ALL OFF' and then turn on the 'SEQUENCER' option.
With regard to the use of EMC Styleworks to create a Style from a Midi Sequence, when I used that program back in my KN6000 days, I was not impressed with the results. I found the program to be very good at converting Styles from other manufacturer's keyboards to Technics format, but was disappointed with the MIDI to Style creation, except for MIDI files which were pretty basic and only had a few tracks. As you stated Alec, without some extra work, the results were often a bit 'Hit and Miss'
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. On this basis, I would not recommend the program purely for MIDI to Style creation, hence my previous remarks - just my opinion....