MIDI is just a language that basically allows two pieces of gear, weather that be hardware or digital, communicate. It's like the accelerator in your car... without an engine it's worthless. And the engine wouldn't know what to do without the pedal.
You need to send that information to something that interprets that language and creates an audio signal. That could be a plugin or an external sound module etc.
There are a few different layers to the MIDI language. There are note messages that send a pitch or key, (Bb1, C4, etc) velocity and note on and off. There are also CCs that send continuous values to control other parameters besides notes. There is also a way to control transport with start, stop, position and tempo messages.
All this to say, using Live, MIDI cannot be converted to Audio without a device on the track. You can use any of the build in instruments or any third party software synth. After you're getting sound, you can bounce or export. You can resample. You and also use the freeze option. All of these options create an audio file rather than the MIDI clip triggering or playing that instrument or soft synth in real time.