@Siphonay I don't think you'll be able to use MIDI for that stuff since the sound file is usually dependent on the server and not the file itself (which never(?) contains samples). Maybe there is a solution but you're better off using that sound file in an Ardour/LMMS project where you import MIDI tracks and change their soundfile/track number to use your custom file.
@Siphonay Probably thanks to additional rules in the MIDI file format. You shouldn't be allowed to embed sample files in one if you're using basic, old time standards of MIDI tho (I believe, at least).
But hey, you got what you wanted.
@_sharpLimefox just found a way to do it in FL studio tho