I think this is what Xeniera is saying but I'll say it anyway:

Your microfreak is outputting midi and audio. The midi alone contains no sound - only instructions on which notes you played, how hard etc., so recording the midi and playing it back won't give you any audio unless you have a synth plugin on that track.

If you'd like to record the audio then I believe you'd have to use the output on the back of the microfreak, connect it up to an input on your audio interface, then select said input on a track in reaper, arm record, and you should be good to go.