I remember that I had the same problem a while ago.

I read again in details the MS-404 manual two or three times and
finally found that I was wrong when sending program changes to the MS-
404.

If this can help you to solve this problem, try to send these PRG
changes to your MS-404 :

Key Assign Mode 'Highest Note' : PRG 15
Key Assign Mode 'Last Note' : PRG 16
Key Assign Mode 'reference note' : PRG 17
Key Assign Mode 'Stack Note' : PRG 18

Dimitri