Using a Teensy 3.2, I can compile and upload the sketch from fine.
It goes through the startup animation on the LEDs.
I can select a mode with the button.
It even remembers the mode when I restart.

I'm trying to use mGB mode.
But when sending midi from my computer, using Live, through USB, I don't get any status LED changes (or any sound on my gameboy).

The settings in the Arduino IDE are:
Board: "Teensy 3.2 / 3.1"
USB Type: "MIDI"
CPU Speed: "96 MHz (overclock)"
Optimize: "Faster"
Keyboard Layout: "US English"
Port: "HID=#### MIDI (Teensy 3.2)"

I can also see a "Teensy MIDI" in my Audio MIDI Setup on macOS and can see "Teensy MIDI" in Live as a "Midi to" output.

I've used the same pins as in the original code. I updated all the libraries in the Arduino IDE. I tried other USB Types to see if there was some serial debugging info printed.

Here is a picture of my breadboard layout:

I also have an Arduino UNO with a which I can send midi to fine with a USB to DIN 5 cable.

I'm not sure where I have gone wrong, since the start up and mode selection appear to work. Does anybody have any ideas?