To import and export MIDI files, use the ->-> and ->-> functions.
Although Rosegarden can load and save file formats such as MIDI, it does not store MIDI data internally. You should generally prefer to save files in Rosegarden's own format, as Rosegarden stores quite a lot of information that will be lost when exporting to MIDI. This also applies if you merely import a file, and then immediately export it back out. Rosegarden translates the raw MIDI to its internal format, and then translates that format back into MIDI. Some details of the file structure can and do get lost or rearranged in this translation, but the resulting performances should be functionally identical.
When a MIDI file is loaded, Rosegarden splits out the music into one track per MIDI track or channel in the file, sets up the appropriate instrument mappings, and attempts to calculate plausible notation for the MIDI performance data.