As for Linux, well... that's more difficult, even under Ubuntu with GUI apps for help. You need to have two audio apps installed and actively running and setup just right in-order for midi to produce any sound on Linux, which are "Qsynth" the midi soundfont player and "QjackCtl/Jack Audio" which is the audio stream controller.
Note, if you're running Linux in a virtual machine chances are it won't handle midi playback properly even if everything is setup right. I tested this under Ubuntu v20 I think a few years back and the midi playback was horribly distorted - don't think the IO rate between the virtual machine and the real machine was up to the job.
Unfortunately on Linux it can be rather difficult to say the least to get midi working right, and more often than not you want to hit the screen in frustration. Sadly, there is no simple "just do it" option to get things working as you'd expect.
In addition, Qsynth loves to generate multiple midi playback devices, like 6 or more, of which only one or two from my experience actually render any sound. To help with this frustration, Cynthia has a play all midi device option (main GUI bottom right, Playback Device, select "A"). This way, if only one of six or more midi devices on Linux is capable of sound playback Cynthia will get it working. Unfortunately Qsynth and Jack can be a real pain to setup and keep working.