Hmmm... this was interesting. I've been thinking that whether this works or not is relatively random. However, thinking back it could be when I've imported a MIDI file into a project or opened a MIDI file. And the problem persists even after closing and opening the project. But it works otherwise.
May I add, I've sometimes been able to select all MIDI track and change the input to MIDI Omni on all the tracks. Other times, it will only change the track I am actually clicking on. Could be related. Will investigate.