1) Are you pressing the correct icon in SLM? This should NOT be the symbol in the upper right hand corner of the screen - this is for switching MIDI on/off in general and it grays out when it's off - but the MIDI preset symbol in the set list or document view.
I'm not home now, but I do know that at least part of the time I was pressing the Midi on/off switch.
2) Have you linked the MIDI preset in SLM to any song? Otherwise you would not see the MIDI button as described in 1) Alternatively, use the MIDI icon directly next to the preset's name in the list of MIDI presets.
I have linked the midi preset to a song, and did not get any results that way, but again, I need to verify that midi was turned on.
3) Check sending and receiving MIDI with another iOS app, this would make sure that your iConnect configuration is correct.
Question: When you set up the midi preset in SLM, are you selecting "all" as your port. Or one of the iConnect options?