Welcome to the neighborhood.

It may be that you don't have an output assigned to the MIDI.

Try these settings from the Options > MIDI / Audio Driver Setup menu:

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BIAB & RB2025 Win.(Audiophile), Sonar Platinum, Cakewalk by Bandlab, Izotope Prod.Bundle, Roland RD-1000, Synthogy Ivory, Kontakt, Focusrite 18i20, KetronSD2, NS40M Monitors, Pioneer Active Monitors, AKG K271 Studio H'phones