Hi and welcome,
I would expect, you are sending your MIDI Notes to any Remote Device (maybe Mackie Control?). This is why do you get a pop ups window, while playing. If you have any Remote Device enabled in the Studio Setup, remove them, or set the MIDI Input to Not Connected. Now, you should be able to play properly.
Then you can start to setup the Remote DAW part. Please read in the manual, how to do it. I don’t think MX88 is using Mackie Control protocol. If I’m wrong and it does, make sure, you select the right MIDI port in the Mackie Control device in the Remote Devices.
Make sure MX88 is connected to your computer via USB, not via MIDI 5-DIN over some MIDI>USB converter, please.