If your DX7 is not responding to parameter changes, make sure that memory protect is turned off. From the manual:
- Press the 'Memory Protect' [INTERNAL] button. The display will read 'MEMORY PROTECT INTERNAL ON'.
- Press the [-1/NO/OFF] button. The display will read 'MEMORY PROTECT INTERNAL OFF'.
- To exit from the Memory Protect mode, press the Memory Select [INTERNAL] button.
NOTE: The Memory Protect setting will automatically reset to 'ON' every time the keyboard power is turned off and on again.
Also, make sure that sysex info is being received by the DX7. Do this by:
- Press the [Function] button.
- Press button  twice until you see "SYS INFO" on the screen.
- You want to see "SYS INFO AVAIL". If you see "SYS INFO UNAVAIL", change the setting to "AVAIL".