In Frescobaldi, the filename of the lilypond source should be the same as of the output files. In your case - as long as you don't save it under a different name - the source is named "document.ly" (at least on my linux system), but the produced files are "test.pdf" and "test.midi". Frescobaldi searches for "document.pdf" and "document.midi" which are not there. If you save the lilypond source as "test.ly" everything works.
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