Don’t think so complicated. 
It all depends on if you want the MCF10 to control your synth PSR-A3000 outside your DAW? If so you need to connect it to the midi in of your PSR-A3000. If you’re mainly going to use both with your DAW it’s advisable to connect it to your UM-2EX interface. That way you can always control your PSR-A3000 through your DAW but you can also configure it as a separate controller within your DAW that can be used to control other external synths and/or VST’s?