Is the DX7 transmitting a SysEx message at powerup ? If that's the case, try disabling SysEx on the 'board. Otherwise, set the Kurtzweil to ignore SysEx messages. I don't own either piece of gear, so I cannot tell you how to do it.
A quick test hay help narrow down the issue. Try connecting the midi cable only after you power up both keyboard and module. If that fixes the problem, you can be pretty sure that a midi message at startup is causing you grief.