Keep in mind that MIDI is a set of musical instructions. Regardless of whether you load a soundbank into the Java program, when you save as MIDI, you're only saving musical instructions. (By "musical instructions", I mean things like "NOTE ON" or "INSTRUMENT CHANGE" but not actual musical sound data)
It sounds like what you want to do is render your music into a WAV file using the sounds from the soundbank that you have loaded. To do this, you'll want to use the Midi2WavRenderer available here: http://www.jfugue.org/code/Midi2WavRenderer.java