Hi RenniePet,
There are 3 broad strategies people use when recording MIDI to hear what they are playing. How well these work can depend a little on what kind of equipment you have at your disposal. eg. mixers, sound interfaces etc.
1. Use a MIDI instrument with a built in synthesiser and listen to it via headphones
2. Re-route the MIDI signals being recorded to a separate synthesiser unit and listen to that
3. Use a VSTi (virtual instrument) built-in to the software.
MixPad does not yet support rendering MIDI signals while recording although it will do so with playback. It is a feature which is on our todo list and is being worked on right now, so hopefully it will be available shortly 
The Microsoft GS Wavetable Synth option you have selected is only for playback and will not render the MIDI while recording.
Regards,
Ben