Yes this feature missing from the current version. We will fix this in the coming uTool version.
There’s some workaround:
Open your uTool settings, and check the path where your Project library located.
Create a subfolder inside of the folder which selected as a Project library, and copy all of your midi files there. Open the song with midi for edit and select the midi file from the new location.
After that if you copy the uTool to another computer and you create the same(name) folder inside of the project library folder including your midi files, your songs should work .