For a long time I was not happy that there was not a drop down for "selected midi outputs" like there is for the audio outputs.
 
Revalation!
 
Select the midi tracks you want, hold the CTRL key down and select the output. They all change!!!
 
Am I the only one who just discovered this? lol!!!

Can you explain a bit more?  Sorry, but I am being dumb today.

In 8.5 you CtlA /open the Tracks menu- output and the audio and the midi output can be globally set selected for all.  Might be a shortcut  to this now in the X series. 

This works fine except with opened MIDI files. You need to save it as a project first and reload it. Its a bug that is being worked on. 
 
When I say opened MIDI files I mean MIDI files loaded as native files and not imported.

It is a project file and this is a time saver!
 
@Konradh - When you select several audio track and click on the output dropdown menu you get the option to set the "selected track outputs". The same option shows up for midi tracks but does not work. You can select the midi track and set the dropdown, while holding the CTRL key, and just select the output you want. All the selected midi track outputs will change to your desired output.