This is common. A MIDI file contains no actual sound—it is just data instructions. When you open it in a DAW, it likely defaults to basic General MIDI sounds (cheap-sounding synthesizers). You need to assign the MIDI tracks to high-quality virtual instruments (VSTs) to make it sound like the original MuseScore file.
Estimated effort
The most reliable method to convert MSCZ to MIDI is using the software that created it: . It is free, open-source, and available on Windows, Mac, and Linux. convert mscz to midi