Are you trying to export out the MIDI or save it as an Apple Loop? The Apple Loop will contain the MIDI File and the associated software instrument and plugins.
If you want to save it as an Apple Loop Select the MIDI region, right click it and choose Export > Add to Apple Loop Library.
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A dialog box will come up were you can add some attributes to the loop. Then it will be added to your Apple Loops Library for you can access it later and in other projects.