This would be because all of your MIDI tracks are not configured so that their MIDI data gets sent to any soft synths.
Remember, a MIDI track is simply a set of instructions that tells a synth (be it hardware synth or softsynth) what notes to play , how long to play them, how loud and what-not. It could also contain controller data like brightness, pitch bend, volume, etc. The MIDI track by itself does not contain any sounds on its own.
So what you have to do when you import your MIDI file is to make sure that some or all tracks are set to drive a softsynth. For General MIDI files, a common synth to use for this purpose is TTS. This is a multi-timbrel synth that has the General MIDI sound set that should work for most MIDI files.
Of course, you could also load a MIDI file directly rather than importing it. That way you will retrieve tempo data as well.