The PSR-EW400 doesn't have MIDI IN/OUT ports, so you'll need to connect using USB-MIDI, which will require using a USB host.
The most obvious shortcoming is the lack of many knobs, buttons, and sliders that you can use for MIDI control. There are the two Live Control knobs, but that's it.
You can't set the MIDI Send channels, so you'll need to set the MIDI Receive channels on the equipment or software that you're controlling, or use additional hardware or software to change the channel numbers of the messages.
You can't control whether specific types of MIDI messages will be sent or not, so you'll need to do any message filtering on the equipment or software that you're controlling, or use additional hardware or software to filter the messages.