MIDI compatibility for games?

Unfortunately, nothing is ever simple in the land of MSX MIDI. The main problem is that there are many different MIDI interface standards, and software made for a specific interface isn't usually compatible with another. Famicle Parodic 2 requires the Bit² MIDI-Saurus interface, which can get quite rare and expensive, while Illusion City is MSX-MIDI compliant, so it requires either a turboR A1ST with an MSX-MIDI cartridge or an A1GT (which has onboard MSX-MIDI).

And even that (a MIDI Interface) will be unuseful by itself.
The MIDI interfaces allows the computer to comunicate with the (usually external) sound generator.
MIDI is not sound, it's purely notes and other MIDI events sent as serial data. No sound there unless you plug the interface to something that can make sounds.

So you need something that reads those MIDI messages (mostly notes) send by the software thru the MIDI interface and transforms them into sound, music.
Like those Roland or Yamaha General MIDI modules. Or a real synthesizer. Or a PC with some music software.
Those read the MIDI data sent (like... play a DO with Instrument 1 at this volume), and do the job.

I totally agree, and not only for FP2, even would be nice for all the non MSX-Midi games.

I forgot to mention that in all games that support MIDI you'll need the specific MIDI sound module supported by the game to have the music sound like intended. Some of them support a few different modules, and this doesn't mean that it will sound bad if you use an unsupported module, just that the results can be unpredictable.

About converting Famicle Parodic 2, I wonder if it's feasible. If I'm not mistaken, MIDI-Saurus can offload MIDI files playing (it has a Z80 inside it), but I'm not sure if Famicle Parodic 2 uses this feature, or even if it's possible to directly drive its MIDI interface. If FP2 uses this feature you'd need a software MIDI player to make it compatible with other MIDI interfaces, and I wonder if this wouldn't slow down the game too much.

You've to ask yourself the question if you really want MIDI.
If the game already supports MSX-Music, you're better off in almost every situation. You're then hearing the music on the chip the tune is composed on. That's how the composer would have wanted you hear what he made.
With MIDI and its jungle of different brands interpreting the standards as they see fit, adhering only to the order of instruments when it comes to General MIDI, you're bound to use exactly the same sound source as the composer used. If you use anything else chances are 100% that the tune is f00ked up in sound color, instrument volume or envelope.
Might be a nice gimmick, but nothing more.
PC retro scene has it way better. Just a MIDI cable and a Roland MT32 will do in most cases.