I have as following:

1,MacBook Pro macOS Sierra 10.12.4
2, Montage 7
3,USB Cable to connect Montage to Macbook
4, A Pair of Speaker Monitor

Installed:

Yamaha Steinberg USB Driver V 1.9.10 (downloaded from Yamaha Website)
Logic Pro X 10.3.1
Latest Montage Connect version (downloaded from Yamaha Website)
*First My Macbook did show the same with your setup link below in the Audio Midi Setup
* I can't find the Midi Studio "Window"

You can stop right here, once you couldn't find this the rest of the setup is not going to work.

On your Mac, the Audio MIDI Setup starts up on the Audio side, once you've made those settings, look along the top menu bar find "Window".
There is a drop down option that will let you "Show MIDI Studio"
Find that and then proceed with the setting selecting "Port 1"

You have your tracks are setup wrong these two screen shots show you how to setup tracks for the Montage internal to play the montage performance the other is for Virtual instruments AU Audio units/VSTI. Your 4th screen shot is Montage connect this saves and recall performances setting.

Harold wrote:

You have your tracks are setup wrong these two screen shots show you how to setup tracks for the Montage internal to play the montage performance the other is for Virtual instruments AU Audio units/VSTI. Your 4th screen shot is Montage connect this saves and recall performances setting.

I tried to re-installed the Yamaha Steinberg USB Driver and Montage Connect for 3 times and it works. Now I have the Montage sent the signal to Logic Pro X and plays back my Midi event as an Audio Interface as expected.
But I find the the "Midi Studio" Window on my MacBook, anyway it is connected and communicate with Logic Pro X now.

This "Midi Studio" Window is hided but you can open it from the Window Menu on the Top of your Mac screen, I am new with Mac....

Thank you for your help a lot !