No MIDI Setup IO in Windows 10
Looking at 'Using Max with Other Applications' I am seeing "By default, Max creates two “virtual” MIDI ports for both input and output." but when I go to the MIDI setup window the only thing that shows is the output 'Microsoft GS Wavetable Synth'. The only other way listed to add these ports is via messages which are only supported on Mac.

Are there some drivers or plugins that are needed to get *virtual* midi input and output in Windows?
The virtual MIDI ports in Max are a macOS only feature. On Windows you will have to use a 3rd party solution.
Okay cool, I ended up using loopMIDI which was recommended by Ableton here.
I'm not sure where to make this change/who to report it to but it would be nice if the 'Using Max with Other Applications' documentation included in it that virtual ports are Mac exclusive. This is, as I said earlier, acknowledged in the dynamic virtual port creation documentation but it could be clearer if the using max with other applications reflected the fact that Windows (unsurprisingly) needs a third party tool here.