I went through a nightmare trying to get the axe-fx Ultra to communicate to my Win XP and/or windows 7 systems. I finally got it to work on the win7 after several tries. I was using an m-audio midi-sport 1x1 and had installed the drivers from the m-audio website.
The problem was that the software/pc did not connect very well with the axe-fx.
It saw the m-audio midi adapter fine, but it seemed that connecting to the ultra was a problem. I tried to use the test loopback to test my cables and had a hell of a time. I discovered if I got a fail doing this test, I could get a pass if I closed the software, reopened it and tried again.
I eventually was able to get communication to the ultra by this method, turning off axe-edit and then restarting it with the axe-fx turned on and connected to the pc. I was up for hours trying. It has since been suggested to me that I look into a Roland UM-1G midi interface.