MIDI and VST, Cubase LE5

I am new to Cubase, using Cubase LE5 and Halion Sonic for vst instruments. I have been importing old MIDI files, with preferences set to import as instrument tracks, using Halion Sonic to choose my instruments. So far so good, but when I save as a cpr file, the default choice, when I re-open the file, all my changes and choices are there, but I get no sound. What gives? Do I have to record these files immediately to get anything to work with?
If, instead of saving as a cpr file I export as a MIDI file, no vst instrument choices or changes are saved.

Also, I can’t changes MIDI channel, pan or MIDI level (controller 7) when imported as an instrument track. Any way to do that except by importing the file first with preferences set to import as MIDI file?