Yes, you need a midi sequencer. If you don't have a hardware one, then you'll need timidity or fluidsynth.
I just launch it with
Code:
$ timidity -iA
Requested buffer size 32768, fragment size 8192
ALSA pcm 'default' set buffer size 33868, period size 3760 bytes
TiMidity starting in ALSA server mode
Opening sequencer port: 128:0 128:1 128:2 128:3
Now, open guitar pro in wine, open the midi configuration dialog using the options menu. There's a drop-down list that you can use to choose the midi port that the program will be using for output (it's on the top left, you can't miss it). If you open that list, you should see 4 timidity ports, pick one of those and it should work.
If it doesn't work, the timidity might need additional configuration, and that is distro-dependant.
Guitar pro works without a glitch at all as far as I can tell, but of course, you still need to setup your hardware, even if it's a virtual midi device.