They won't be on 'Tracks' 8/9 .. they'll be on 'Channel' 8/9 but still on the same Track.
The data will still be on the same track, but on different channels.

If you want them split to Tracks 8/9 you'll need to do one more step;
Click 'Edit - Extract Channels to Tracks'.
This is now 'Edit-MIDI-Extract Channels to Tracks' in the new 2015 version.

This makes the data from the selected original track (that you just split to MIDI channels 8/9) go to the track that matches the channel, so Track 8 will have channel 8 and track 9 will have channel 9.

If you want to assign the new MIDI channels to other than Track 8 and 9 just put a check in the box for 'Data Filter' in the pop up. Then you can assign any MIDI channel to any Track.

Make your sound your own!
.. I do not work here, but the benefits are still awesome