Port 1 is for the music performance data from the MOXF - you want to select Port 1 for MIDI IN and MIDI OUT Each has a very specific use, and must be set properly. On the MIDI side of things - your computer will see the MOXF as five MIDI Ports (you see them listed in your screenshot). So to really help you with recording the sound, we’d need to see that Audio tab!
The sound is only produced when the data is played back and interpreted by the hardware.
MIDI has never been heard, it is a means to store a Performance, like the holes punched in a piano roll represent the musical performance for an old Player Piano. MIDI is a series of coded messages that represent a musical performance. Your question concerns recording sound but you show us only the MIDI setup.
We highly recommend you consult support for FLStudio from them, (we’d hate to give you incomplete information on a product not ours) - what we can help you with is the exact information you need to know about the Yamaha MOXF in getting setup.