With midi, you are recording data. You must then send that data to a synth which is in an audio track. Midi out to synth in and that synth will play the music.
Insert a soft synth in an open audio track's FX bin. The synth GUI will open and you need to select a sample to play or a patch to use, depending on the synth. Cakewalk Sound Center starts with a default preloaded sample. In the midi track inspector, click on the midi track output and choose the Cakewalk sound center and you should be able to hear music on playback.
My website & music:
www.herbhartley.com MC4/5/6/X1e.c, on a Custom DAW
Focusrite Firewire Saffire Interface
BMI/NSAI
"Just as the blade chooses the warrior, so too, the song chooses the writer "