Mine is working. You have a couple of options.
1) Plug the GCP power brick into the Axe, and use a 7-pin MIDI cable to go to GCP. The 7-pin MIDI cable has to have pins 6 and 7 wired. People seem to like BestTronic cables.
2) Get a 5-7pin MIDI cable. 7-pin end goes into GCP, the 5-pin end goes into Axe, and there should be an additional connector for the GCP power brick.
I'm doing 2), since I also use the MIDI merger, and it only has 5-pins. I use the Rocktron 5-7-pin MIDI cable, but some people say they break easily. I think BestTronics also sell a 5-7pin MIDI cable, and is probable more durable, but I don't have personal experience with it.