Two things about the K5, it's bulk dump function requires both MIDI Out and MIDI In connections to the computer. Bulk dumps are sent as a series of individual patch dumps with a handshake sent to let the K5 know it's ready for the next message. You get the error most likely because the Computer's MIDI Out is not connected to the K5's MIDI In.
The other possibility is that the computer's MIDI interface is running too fast for the transmission coming from the K5 and is "outrunning" it. Whatever software you're using to receive the dump with should have speed settings you can adjust to avoid this.
My $0.02,
Jonathan Haight