Your photo shows the GPS connected to pins 0 and 1 (RX and TX) on the UNO. But you don't show the sketch you are running. Do you have it set that way in the sketch?
It turns out the micro and UNO are different in the way those pins work. From http://arduino.cc/en/Main/arduinoBoardMicro
Serial: 0 (RX) and 1 (TX). Used to receive (RX) and transmit (TX) TTL
serial data using the ATmega32U4 hardware serial capability. Note that
on the Micro, the Serial class refers to USB (CDC) communication; for
TTL serial on pins 0 and 1, use the Serial1 class.
This suggests to me that you'd need to change the code to read pins 0 and 1.
Easier is probably to wire it up to pins 2 and 3 and use the defaults in the sketch
// If using software serial, keep this line enabled
// (you can change the pin numbers to match your wiring):
SoftwareSerial mySerial(3, 2);