View->Options->MIDI->Dedicated MIDI player outputs

hi,

and what do you think *is* the MIDI Player? :)

hint: it is *not* the main session MIDI sequencer engine... session/song MIDI tracks won't ever get played by the so called "MIDI Player", sorry if that misled you somehow.

the MIDI Player is about an internal gadget, a specifically dedicated SMF sequencer, that plays... guess what?... MIDI files _independently_ of the main session/tracks timeline sequencer; it plays MIDI files on-demand, directly either from the "Files" or "File System" panes, so that in the later case it can play any of .mid files that aren't included or referenced in the current session or song.

when not set to dedicated outputs, the MIDI Player plays through the first MIDI output bus available (usually "Master Out").

you're not doing anything wrong
hope that explains the confusion
cheers