I'm on a PC but this still may be worth a try:
1-Open Pro Tools and go to Setup>Midi>Midi Studio
2-create a new "instrument" and name it "Yamaha"(or whatever you like)
3-select or skip the manufacturer and model selections(these are not required)
4-set the Input Path to the Scarlett Midi In(this should show up as an option, but may be labelled slightly different). BTW, this is the crucial setting
Optional stuff:
5-the Output Path only matters if you wish to send midi data back to the keyboard
6-midi channels; by default, its likely that all 16 are highlighted, which is fine. The only reason to alter these is if you have multiple controllers you want to use at the same time