If this is the symptom, there is nothing wrong with your USB MIDI Cable. 
    As you will read below, this is how it works with ANY USB MIDI Cable.
    This applies to all Sound Systems that do NOT have a Hardware Synthesizer
    on board. This is 99.9% of all Laptop Sound Systems.

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If all you have is "MS GS Wavetable SW Synth" then that could be a problem. 
The "MS GS Wavetable SW Synth" is a software based synth that will not allow 
you to use the MIDI In capabilities of your Sound Card adequately. You would 
need to use your Sound Card's proprietary MIDI Driver instead of a 'generic'
'universal' driver. 

If it is not available because it is not Installed, you would need to contact
your computer or soundcard manufacturer and find out which Driver should be 
used with their Sound Card for MIDI.

If the only driver that works with your soundcard/soundchip is the MS GS 
Wavetable SW Synth, then that's really not good. You may need to get a 
different soundcard. But contact your computer or soundcard manufacturer 
first and see what they say.

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There are a few things to be aware of when selecting MIDI devices. On some
versions of Windows, using the Microsoft MIDI Mapper does not perform as
efficiently as selecting that driver directly.  You also probably want to
avoid using any software synthesizers.  

For example, newer versions of Windows provide the "Microsoft GS Wavetable 
SW Synth."  Typically, this synthesizer has a lag of about 100 milliseconds
(1/10th of a second) from the time you start playing a note until the time 
you hear it.  This makes it not very useful for this type of application.

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