If your serial output will not change when pressing keys
Your keys aren't connected somewhere. This could mean with the shield, where the wires aren't long enough in the pinouts, or to the ground plane. The contact point where the keys connect to the ground plane is very small, and your ground plane could be misaligned.
If the wrong key in serial output is changing when you press down the key
Your keys are connected
If multiple keys change in the serial output if you press down one key
Check to see if your wires are touching where they are stripped, if everything is fine then you have a short on your shield. Take you shield out and check the solder on the back. If some of the solder is touching you'll need to fix this using the soldering iron. You can fix this with a solder sucker, solder wick, or some careful reheating on the iron. If you can't see any obvious connections in the solder, you're going to have to go through each pin. Take the soldering iron and reheat each connection until it melts. This should fix the problem.
Code uploading but LED isn't turning on:
Check your leads between the shield and arduino, it's possible one isn't in correctly.
Errors in the code due to #include <MIDI.h>
Make sure you have the MIDI library downloaded to your Arduino IDE. Watch the tutorial video in the Software section for a step by step if needed.
No sound is appearing but connections are running through
Check your MIDI settings in LMMS. You need to have:
The "Enable MIDI Input" button selected, so it is green.
The correct channel number to match the instrument. For the Piano this is channel 2.
The Piano's MIDI controller selected as a input. You can either do this by selecting the button with the piano on it in the MIDI tab, and selecting the controller, or selecting the gear by the track name and selecting the controller under the Input.
Hairless showing high volume when key isn't being pressed
If your keys are giving you the max volume (126/127) then your calibration is wrong. Hit the button on the shield to restart the calibration process. If that still doesn't work it means your physical key isn't connected to pin correctly. Check your wires and soldering, using a multimeter if necessary to make sure it's correct.