In DP3, MachFive doesn't work with MIDI on an Audio track. Insert MachFive onto an AUX track instead.

Also make sure that "interraplication midi" is enabled. To do this, choose "Edit FreeMIDI Configuration" from DP's BASICS menu. Once FreeMIDI is open, choose "FreeMIDI Preferences" from the FILE menu. In this preferences window, be sure that "Interapplication MIDI" has a checkmark next to it so that it is enabled.