Creating new MIDI track(s) can be done using the Session > Add Track/Bus menu. In the Add Track/Bus dialog, MIDI Track must be picked from the combo selector at the upper right.

A track template can be used, by selecting it in the Configuration drop down menu.

One singularity of the MIDI track creation in the ability to select right at creation time the instrument that will be used in the track. The instrument in this context is any plugin that will generate audio in response to receiving MIDI.