In the default MidiKeyboardComponent, the name of the keys seems to be left shifted. Running the JuceDemoPlugin, you can easily check that when pressing the C4 key, a C5 is actually heard. That is taking the A4 <=> 440 Hz convention.
/** This sets the octave number which is shown as the octave number for middle C.
This affects only the default implementation of getWhiteNoteText(), which
passes this octave number to MidiMessage::getMidiNoteName() in order to
get the note text. See MidiMessage::getMidiNoteName() for more info about
the parameter.
By default this value is set to 3.
@see getOctaveForMiddleC
*/
void setOctaveForMiddleC (int octaveNumForMiddleC);