The track I was attempting to generate midi for was definitely a midi track (I think this causes a different error message if this is attempted)
Here is where my confusion lies. If I Select and Generate a RealTrack I get the choice of RealTracks from the list that is offered. The selected RealTrack is then used in conjunction with the chordsheet to give me my audio section for that track.

Now, I get the idea that my midi can be generated in the same way. So, on a midi track I define a region and then select Generate Midi. This time I do not get to choose a style from which the part can be chosen. It seems to expect to get the part from the current style. This means having to load this style. I get it to work that way (so long as the part is in the selected style), but it is not how I would have expected it to work. Hopefully I am wrong. I suppose the clue is in the fact that it is Generate Midi rather than Select and Generate Midi.