Just a few quick thoughts… I'm going to guess you've ruled out a bad cable or a loose connection…
Make sure that OUTPUT on the TF is set to XMT.
Make sure both TF & MF are set to the same MIDI channel (XMT-CH on the TF side; on the MF side… RCV-CH set to OMNI or the same channel as the TF).
Also, make sure that the RCV-MAP on the MF has a program assigned to the program change message it's receiving. It's unlikely, but possible, that it could be ignoring messages because of the map. You might want to check the XMT-MAP on the TF side, too.
All this stuff is under the MIDI menus in System Mode, but I'm sure you caught that already. If the above doesn't help, can you give us more detail about the settings under the MIDI menu on both the TF and MF?