The Midi out device can be selected in the menu Tools/Options/Midi.
The output synth produces the sounds. If JJazzLab knows the capabilities of your output synth, JJazzLab can directly control it from the mix console. And most importantly when you select a rhythm JJazzLab can automatically select the relevant sounds, using drum map conversion when necessary.
This wizard will help you select the best Midi configuration. It is launched automatically the first time you run JJazzLab. You can also run it manually from menu Tools/Midi Configuration Wizard.