I've had similar issues, trying to use MIDI's on the Utility Tracks. So, I've given up for now, trying to import MIDI file's to individual Utility Tracks.

Out of desperation, I've resorted to the use of a second instance of the TTS-1 synthesizer on the Melody Track, while running the first instance as the default synthesizer. The TTS-1 synthesizer's mixer, recognizes the channels and instruments after you hit "play" the first time. It also allows individual channel volume adjustments in it's Mixer. The BIAB Mixer Fader for the Melody Track, is usable as well.

This method doesn't allow the inserting of effects plug-ins for the individual channels, or to allow control of the varying individual channel levels throughout the song. I does however, give you access, to individual: Chorus, Reverb, Pan and other settings for decay, reverb, mods and more.

Other issues that I have encountered with MIDI's on Utility Tracks include...
Notation View doesn't appear to work on the Utility Tracks. It reverts to the Melody Track when a Utility track is selected, and you hit "#". Therefore you can't delete Volume events or modify/delete embedded Program Changes, (to allow changing instruments without it popping back to the original).
Piano Roll doesn't appear to show events either on MIDI utility tracks.

Also I've found that you can't select a GM2 Instrument from the Right Click menu, on the Utility Tracks, which does work on the original tracks.

Plus other issues that keep popping up.

Just some of my experiences and attempts.

Thanks