By MIDI i presume you mean notes imported as midi-notes from a *.MID-file?
If so you need to define a default-SF2 in your Settings. Most select a General-USER-SF2, because that gives you all midi-voices on your soundcard.
However!
It is not necessary, because you can drag any instrument-preset including VSTs into any SF2 track. That replaces the mute-SF2 with the dragged preset, often giving you a better instrument sound, than a voice from a SF2 can.
If i misunderstood your problem post again :p
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