Apologies for the previous misunderstanding. That was my bad...
After a lot of messing with it, I think I figured out the problem with LMMS not saving my project files. I had my project files on an external hard drive and the folder had read-only permissions or something like that. You had to have admin rights on the computer to modify files and LMMS didn't have admin rights.
I have set my working directory to a location on my C: drive and it seems to be saving things just fine now.
I do believe it still has issues with MIDI though. I was messing with it and then LMMS crashed (probably because it didn't like processing three VST plugins) and then MIDI input functionality went away completely. Uninstalled and reinstalled the program to fix it. I'm not going to use MIDI again with it.