MIDI does not carry audio. It carries sheet music information and synchronization timing.
To listen to MIDI, you need a SOUNDER. The sounder, not the controller, actually produces the audio signal. The controller just tells it which notes to play.
Listening to the MIDI signal itself is like listening to a choo choo with a cold. It sounds like a fax modem.
Connect the controller output to a KEYBOARD or some other sounder device. Then it will play the MIDI as it runs. You might need a MIDI thru box to prevent latency, so you split the MIDI output of the controller between the sounder you hear and the sounder or port you are recording into.
Of course, each sounder has its own voicings of the notes. A piano note played on a Roland sounds different than a piano played on a Casio. But if it is General MIDI, you will get the same kind of instrument you are recording.
Even then, your recording software might give you more latency if it has to synthesize the sound internally. So record the MIDI as a MIDI track, and synthesize the sound during the mixdown or as a bounce.
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