To follow up on this: I still haven't established the "right" way to connect the Yamaha digital piano P-105. I wrote to the folks at Focusrite, who replied that I need not connect the piano to the interface. Rather, set up midi on the Mac and Pro Tools should see it.
After a bit of fussing about I can see the piano listed in the Peripherals. So I set Midi Control #1 to HUI and selected the piano for send and receive. When I click Ok, Pro Tools says the device cannot be found at the path given. I tried M-Audio, too, with a similar result.
So... I followed instructions to reset the default I/O but no joy. I then searched for info about the P-105 and MIDI on Mac. Some articles said it doesn't work, so I wrote to Yamaha asking if the P-105 was compatible and if so how to connect. No reply yet.
Any tips, hints or wags warmly accepted.