You have to right-click the right spot – in the MIDI editor window, above the notes (where the measure numbers are, I think).
You can also right-click the “Text Events” dropdown for the same menu. REAPER is weird.
Cleaned up the OP and added the current Magma link.
You are about to leave Rhythm Gaming World and access the external songs DB. While no song or file sold for commercially available videogames is hosted there and only fan generated content is allowed, Rhythm Gaming World has no direct control over the database and no files are hosted here. Alright, we had to made you aware of this, now you can visit the database!