MIDI only carries control data, such as which key you pressed and how hard you hit it. It does not carry audio.
Imagine that the knobs and keys (the 'control surface') on your Stage are connected via a MIDI cable to the sound-producing bits, the sound engine. If you send MIDI data from Mainstage to the Stage, you're actually sending control data to the sound engine, just like the control surface of your Stage would send MIDI data to the sound engine.
Sending data from the control surface to the sound engine is done automatically, but you can turn it if off by turning off 'Local Control'; this is a setting in the MIDI menu. If you turn it off, MIDI data from the control surface is only sent to the MIDI OUT port and no longer
also sent to the sound engine. If you would plug a single MIDI cable into both the MIDI OUT and MIDI IN ports, the control surface would send MIDI data to the MIDI OUT port, which goes to the MIDI IN port via the cable and is then played by the sound engine - in this setup (not that useful) the Stage would work the same with 'Local Control' on and off, because you use the MIDI cable to send the Stage's MIDI commands
back to the Stage's sound engine. Think of the MIDI IN port as the input to the sound engine. Because data is sent both to the MIDI OUT port
and directly to the sound engine when Local Control is on, you can have weird 'echos' or retriggering of notes when you have Local Control on and a MIDI cable from MIDI OUT to MIDI IN. This is because the sound engine first gets the key you hit directly (without going via the MIDI port) and then gets it a second time (a fraction of a second later) via its MIDI IN port, because it was also sent over the MIDI OUT port. Weird stuff ensues.
The setup above is not that useful, but if you want to do fancy things with Mainstage you could set Local Control to off and then run a MIDI cable from your Stage's MIDI OUT port to your computer's MIDI IN port and one from your computers MIDI OUT port to your Stage's MIDI IN port. If you set up Mainstage correctly (external instrument, right MIDI channels, etc.) pressing a key on your Stage would send a MIDI message to Mainstage, which would send it back to the Stage's sound engine. You could set up all kinds of stuff like splits in Mainstage.
Fortunately, since the Stage line of products are also meant to function as a controller keyboard in a larger setup, they include an Extern section (one in each slot/panel) which is specifically meant for controlling external equipment, like software (such as Mainstage) and other hardware (such as maybe a separate synth module like a Waldorf Blofeld). You could turn off Local Control and have Mainstage handle splits, etc. but you could also use the Extern sections to control the softsynths running in Mainstage and just set up splits, etc. on the Stage itself. For example, the lower half of the keyboard could be used to play bass sound in Mainstage while the upper half plays one of the Stage's piano sounds.
Note that blinking of the MIDI LED on the Stage just means it is receiving MIDI data; it doesn't mean it is receiving that data on the right channel. You can create quite complicated setups on the Stage, but unless you've done a lot of mucking about with the MIDI settings on the Stage, I would start by trying to send MIDI data to channels 1 and 2.
Edit: If I'm not making any sense, please let me know and I'll try harder
