Are you using the “File” menu in the editor (bottom half of the window, where it says “Editor: Track 1”) or the arrangement (top half, right below the project tabs)? Try the one in the arrangement, that will create a mixdown of all tracks.
Also, it appears you’re using a MIDI output to control an external device to produce sound. In that case, you have to route its audio output back into Podium and record it. If you don’t use an external synthesizer or anything like that, the MIDI output by itself won’t produce any sound. You’ll need to use a VST instrument plugin if you want to create sound with just your computer.
Let me know if this helps!