I don't believe there is anything wrong with it. But it helps if you realise that is controlled for each instrument by the "keyboard" at the bottom of the instrument window as described in the documentation at https://lmms.io/documentation/Instrument_Editor
Whatever note has the green square above it is taken as being A4 (440Hz). That square doesn't move itself but if YOU move it to being over a different key you retune the notes that play from the keyboard and also in piano roll.
Steve