Hi dupakos,
If you record a MIDI file with the keyboard transposed, it will be saved in the key you actually hear.
It's probably because of your Transpose settings. Make sure that in "Menu > Transpose" (or in the popup that appears when you press one of the Panel Transpose buttons) "Song" and "Master" are set to 0 (zero). With "Keyboard" you set the desired transposition of keyboard and style.
Important: Make sure that "Keyboard" is selected in the Transpose display / popup. Then only the value for the keyboard transposition is changed with the Panel Transpose buttons. However, "Song" and "Master" remain at 0, and a MIDI file should play back exactly as you recorded it. Also see the attached screenshot.
Best regards,
Chris