Sorry I doubted you but I did mean I can't believe MS are restricting that function. It is there in Windows 11 and I know it was available in Windows 10 previously so I don't know which update changed that.
In File Explorer right click a mid or midi file and select Open with. From the list Choose another app then more apps (scroll to the bottom of the list) then look for another app on this PC, be sure to select to Always open.