iConnect MIDI is a very good MIDI hardware interface, but it can also be complex. Here is a simple setup that will work with Lemur.
When looking at the front panel of the iConnect MIDI, the left USB connector should go to the iPad, and the right connector should go to your computer. These are iCM USB D1 (left), and iCM USB D2 (right).
In Lemur, for MIDI Target 0, choose the following:
Input: iCM USB D2
Output: iCM USB D2
Now in your DAW, select iCM USB D1 as your MIDI ports.
You can now create objects and map MIDI messages, or simply use a factory template such as iPad - Studio Combo.