It does work partially. I do get the text messages etc., but some of the instruments are a total mess.
Well, there's definately more people having the same problem with the Xmidi / Roland MT32 combination, which became clear to me after googling. A person named Clarence Sparrow (

) said this in a review on Amazon:
"Not good for SysEx on Roland MT-32, March 10, 2010
By Clarence Sparrow "cs" (Cali) - See all my reviews
Amazon Verified Purchase(What's this?)
This review is from: EMU Xmidi 1x1 USB MIDI Interface (Electronics)
I used this device with the Roland MT-32 on Windows XP. With either the built-in Microsoft driver or the latest EMU driver downloaded from their website, SysEx messages were not conveyed to the MT-32, resulting in music playing with incorrect instruments. Currently, I am using the M-Audio Uno sans driver and having no problems."