It has been a while since I have had my GR-30 out of the box, but even that has MIDI out on it.
Just to reiterate Robert's comments. For the MIDI track you have inserted, you have the input set to MIDI Omni, but where is your output routed?
Insert a soft synth and route the MIDI output of your MIDI track to that synth. Does the MIDI track drive it? I am also curious what audio interface you are plugging your MIDI cables into (as this may be an issue).