At first, I thought that it was because the Desktop evolver is monophonic, and so it won't let me play more than one note at a time. However, on my other monosynths I do not experience "skipping notes", but the synth simply goes to the newer note.
Also, the Evolver handles most of the notes fine, even if the VCA Release is long, but occasionally it does not play some of the notes.

The dot on the Evolver panel that indicates MIDI IN does indicates that my MIDI keyboard sends all of the notes, so that's not the problem.

Yes, I've check all Key Mode settings, nothing helps.

Maybe you can check again if the kb settings are on last note priority and envelope retrigger.