I would not recommend using the lmms system package since that's the 1.2.2 stable release which is pretty old at this point. And even the latest alpha is old, unfortunately.
Try using the nightly version and see if that works for you.
Downloaded nightly build and unziiped resulting in lmms-1.3.0-alpha.1.947+a74339f-linux-x86_64.AppImage ran it but still no files. Jim