MIDI is NOT audio. If you hear sound from a MIDI file it is playing a synthesizer build into your sound card or audio interface. This sound is being mixed into the audio-stream OUTSIDE of FL Studio, and so this sound does not render from FL Studio in wav/mp3/ogg files. Rendered audio comes entirely from INSIDE FL Studio.
Solution:
Notes:
1. The Fruity LSD uses the General MIDI software synthesizer that Microsoft includes as part of DirectX 8, so you'll need to have DirectX 8 or better installed.
2. The manual discusses using external MIDI instruments here - MIDI Setup
The FL Studio Support Team.