To verify that your MIDI input is working, check the MIDI indicator at the right edge of the bottom toolbar. The top half of the indicator will light up whenever MIDI is received.
The MIDI input is not recorded, if it does not have a destination in the track tree. On your track with the MIDI input, you need to put a mapping for a synth (either plugin or hardware) which will provide the definitions for pitch bend, modulation and other relevant parameters.