Well, ideally when you edit a MIDI file you would want to test it using the hardware or software that you plan to play it on when it's finished. So if you're planning to play the file on your keyboard then you would want to have the MIDI editor send the data to your keyboard as you're working on it so you can tell how it sounds.
But you said that you're planning to use the file in Synthesia, and creating a file that sounds how you want it to on your keyboard doesn't mean it will sound the same way when played by the Synthesia software. Also, I don't know how Synthesia handles MIDI Sustain CC messages, or for that matter whether you're planning to use the MIDI file exclusively with your keyboard, or whether you plan to post it so other people can use it with their keyboards, in which case there's no telling how it will sound on their keyboards.
I would recommend the following:
(1) Record your playing, complete with sustain pedal, to a User Song on the PSR-EW400, then play back the User Song. If the sustain works as expected in the User Song, then it was recorded successfully.
(2) Use the "Save SMF" function in the File Control menu to convert the User Song to a MIDI file, then play back the MIDI file on your keyboard. If the sustain works as expected in the MIDI file, then it was converted successfully.
(3) Load the MIDI file into your MIDI editor, then check the MIDI event list to see whether the MIDI Sustain CC messages are there. If they are, then the MIDI file was imported successfully into the MIDI editor.
(4) Edit the MIDI file as desired (but see the note below), then save the changes, load the file on your keyboard again, and play it back. If the sustain still works as expected, then the MIDI editor didn't interfere with the MIDI Sustain CC messages.
(5) Try the MIDI file with Synthesia. If the sustain worked in all prior steps but fails to work as expected in Synthesia, then the problem is related to either Synthesia or the MIDI soft synth that Synthesia is using to play the MIDI file.
Note that when you're editing the MIDI file in your MIDI editor, you should be careful how you move any Note events around. The sustain effect isn't embedded as part of the MIDI Note On/Off events, but is instead controlled by separate messages that turn the sustain on or off, creating what I'll call "sustain zones" that start and stop at specific times. If you move a note so it starts earlier or later than originally recorded, or stops earlier or later than originally recorded, you may inadvertently move the note out of or into a sustain zone-- that is, the notes and the sustain zones will no longer be synchronized with each other as they were when you made the original recording. What you might need to do is move the beginning (Sustain On) and ending (Sustain Off) of each sustain zone so they correctly encompass the appropriate Note events as desired.
