Can you hear sound outside of RM2k? (i.e. is your volume up) Make sure you check your computer's volume, there is a separate volume control for MIDI output. I seem to remember also that RM2k directly affected the MIDI volume for some reason, setting it to be rather low, but maybe that was patched.
Also, test the .MID files in the BGM Selector, maybe it's a MIDI issue.