I read the documentation page: http://lmms.io/wiki/index.php?title=LMMS_Settings#Paths but on OSX 10.9.5 the dialog box shows only 7 among the 8 paths. There is no "Default Soundfont file" settings to specify the path of a new soundfont file like "GeneralUser GS MuseScore v1.442.sf2&q...

This is probably not the right answer but there is a utility application which should help you configure your MIDI keyboard:

/Applications/Utilities/Audio\ MIDI\ Setup.app