Hi Paul,
a transposition is not "in the MIDI file" after recording, because the MIDI data are recorded directly in the actual sounding key.
Please make sure that the Transpose values for "Master" and "Song" are set to zero. Then you will hear your MIDI Song in the same key as recorded.
I also recommend assigning the parameter "Keyboard" to the Panel Transpose buttons. To do this, open the Transpose pop-up window (e.g. by pressing [Menu] > Transpose) and make sure the middle line "Keyboard" is highlighted.
Best regards,
Chris