MuseScore assigns instruments based on General MIDI standards (e.g., Channel 1 = Acoustic Grand Piano). When you drag the MIDI into your DAW, it will default to these sounds. You will need to manually re-assign the MIDI tracks to your desired virtual instruments.
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If you do not want to install the full MuseScore suite and just need a quick conversion, several online tools can handle this. convert mscz to midi
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