What MIDI instrument are you using? Is this happening with all your instruments?
I don't know if this is your problem, but this is one issue that
could cause what you're experiencing. If you're trying to play a chord and only one note is sounding out, you may be using a monophonic instrument, or an instrument that is set to play a legato articulation. In order to play multiple notes at once, you have to be using a polyphonic instrument, or an instrument that's set to play polyphonically.