There are tons of MIDI step sequencers out there if that’s what you need - many free ones too.
The MIDI File Player is a, well, player, it is not intended to be a step sequencer.
That said, if you WANT to single step through a sequence where the note stays on until the next note is triggered, that’s pretty trivial.
Just create the desired MIDI file using your favorite sequencer, set the duration of the each note to be a while beat and then you can trivially step through and as you reach each “next” note, the previous note will stop.
I just created such a sequence using Logic Pro and here’s a video showing it being used in GP by stepping.
Here is the MIDI file and a gig file.
SingleStep.gig (88.6 KB)
Simple.mid (381 Bytes)