well they're midi sounds, what do you expect ? How do you propose you can create sounds otherwise ? Midi is digital/synthesized... and already available for you to "create your music".
At best, what you can do is change to another MIDI output ... Options --> Midi Setup ... see how it sounds for you. I changed mine to MS GS Wavetable SW Synth and it sounds much more full.
BTW, you know about mysongbook.com right ? Awesome resource for GP3/4 tabs.