I think i get what you want.
You mean that when you load the midi all tracks are sf2 but they don't do any sounds, right?
So you have to download a general soundfont like GeneralUser (there are others but i don't remember the name) from here
http://www.schristiancollins.com/generaluser.php and then set it as default sf2 in your preferences
Under default soundfont file choose generaluser sf2 file (here the example is fluidr3 gm, is another general soundfont).
Then restart lmms and when you load the midi you can also hear to it!
Hope it helps