From the documentation, in the "supported files formats" section: "WME supports two file formats for storing the sounds and music: WAV & Ogg vorbis"
So, my guess is that there is no MIDI support yet, but I could be wrong because the documentation is incomplete.
Personally I don't really like MIDIs very much because they sound very different in every soundcard, and despite how good a midi file is if the player has a very bad soundcard then he will hear bad (quality wise) music.