Hi rough,
According to the manual, with the E363 (and also with the E373) it is apparently not possible to play a MIDI file and record it on the USB stick at the same time with the internal audio recorder.
The "Phones/Output" jack of the E463 always delivers the overall signal (song or style + keyboard performance + signal fed in via AUX IN), i.e. everything you hear through the internal speakers. Using a suitable audio cable (6.3 mm stereo phone plug on the E463 side), you could record this overall signal with an external audio recorder or in a DAW (via an external audio interface connected the computer). Please note, however, that when you insert a plug into the E463's Phones/Outout jack, the internal speakers will automatically shut off.
By the way, the E463 also has an internal USB Audio interface. If you connect the USB-to-Host terminal directly to the computer with a USB type "AB" cable, you should be able to record the E463's main signal there with a DAW or another suitable audio recording program. Please note that the Yamaha Steinberg USB Driver must be installed on Windows computers and that the Audio Loopback function on the E463 should be set to OFF when using a DAW.
Hope this helps!
Best regards,
Chris