I'm beginning to think this is an audio sharing issue.
... or MIDI->Audio Generation?
On that MIDI/Audio Setup dialog, what do you have on the button mid-right where it says "VSTi/DXi Synth"?
And when you press that button, does it come up with a dialog offering a tab "sound source files"?
The defaults for these are CoyoteWT and GM.DLS and should work OK, but if you have a different synth and/or different or missing sound source file, it may not work. The Options button shows the path to the sound source file.
FWIW, I now usually have VSTSynthFont64 as the synth and a better soundfont (GM.DLS is pretty basic), usually
+++ Compifont +++ or
+++ Timbres of Heaven +++Edit: Addendum ... I'm running this on Linux and I sometimes get warning boxes behind dialog boxes, which may be peculiar to Linux. But ... if things don't respond, try moving dialogs aside to see if there's a pop-up behind them.