This is not working as the help file says it is supposed to. I have a blank project with the tempo window open in the dock.
 
I import the midi file, do edit-select all, do copy, making sure the "tempo changes is checked.
 
I delete the midi track, so the project is blank again.
 
I do paste-special, again making sure that tempo changes is checked.
 
The midi track/clip get pasted into the project.
 
Tempo remains irritatingly at 120 bpm
 
Does anyone know how to do this?

You need to "open" the MIDI file not import it. When you import a MIDI file the project has the tempo not the file.

That did it. Thanx John