On the Track:
- Do you have an instrument plugin loaded (in order to generate audio from the MIDI)?
- And is the Input Monitor Button enabled on the Track?
Otherwise using
Insert > Virtual Instrument on new Track sets some Track settings up automatically (Record Arm & Monitor Input enabled, Track Input set to all MIDI channels).
-
https://www.reaper.fm/videos.php#BvSC-6qq1vs
-
https://www.reaper.fm/videos.php#ztr7B-PrUHY
And welcome to the Reaper Forums!
In addition to the Reaper Videos, make sure to also check out the info in the User Guide in general - like chapter 3 Recording Audio and MIDI :
https://www.reaper.fm/userguide.php.