That won’t do what the OP wants. It will convert any note played on the keyboard into the closest note in the new scale. But that’s different than transposing to the new scale. If you set the MIDI Modifier to A Major and on the keyboard play C-D-E, it will come out as C#-D-E. But if you transpose to A Major you’d end up with A-B-C#.
Also the modifier only affects playback. If you record those notes they’ll still be C-D-E in the MIDI Part.