Why are the DIN-MIDI connectors labeled the wrong way around on my interface?

They are actually labeled correctly but this is a surprisingly common question because the way MIDI In and MIDI Out work can be confusing if you are not used to it.

MIDI signals can only flow in one direction at a time on a DIN-MIDI cable - each cable is a one-way street. The terms MIDI In and Out refer to the direction that the MIDI signal is flowing. The MIDI signal flows out from a MIDI Out socket and then in to a MIDI In socket. So you always connect the MIDI Out from one device to the MIDI In of another device.
 

So for example:
  1. The MIDI Out of your keyboard controller should be connected to the MIDI In of your interface (Out from the keyboard, In to the interface).
  2. The MIDI Out from your interface should be connected to the MIDI In of your keyboard or drum machine (Out from the interface and In to the MIDI sound module).
As long you remember that simple rule, then it should become second-nature to you quite quickly.

Note that this one-way signal flow only applies to DIN-MIDI cables! MIDI can flow in both directions over a USB or Ethernet cable, but it can only flow in one direction over a DIN cable.