If you listen to a MIDI piano song on three different computers, you will hear perfect notes, pitch, duration, and attack, delay, etc, but three different pianos. Most of the time it doesn't make any difference at all, but it can. When you play a MIDI song on your computer, what you're really doing is playing the computer's MIDI interpreter software under the direction of the MIDI 'song.' MIDI is really good at hiding the fact that it's not music. So they were forced to connect the sequencer to a music player and then record the music player. This sequencer had no headphone connection. My MIDI music keyboard has a headphone connection and that's how I record it. There was a recent poster who wanted to record his MIDI sequence controller.

Then you can use Audacity to record the music made by something else. You use a MIDI connection to play something else. Which is weird because it's just another instrument The virtual instruments are rarely exactly the same as the instruments/sounds built-into the keyboard and (as you may know) once you've got a MIDI file you can play it back as a piano or a trumpet, or anything else. MIDI files can be very small compared to audio files because any actual sound is generated by virtual instruments (software). MIDI is a different animal - With MIDI you are essentially sending 'notes & timing' over the USB bus (or over a regular-old MIDI connection). You CAN record the analog output with a line-input on a soundcard or audio interface.

Many keyboard have an analog output (for an amplifier or headphones) plus a USB connection for MIDI-only.

Some MIDI controller keyboards can't make any sound on their own.

Which is weird because it's just another instrument,Quite a bit different from a guitar! Some keyboards support audio via USB (like a USB soundcard built-into the instrument) and Audacity will work with those.

Down with the sickness midi