Custom metadata type records in change sets
Key Takeaway
Adding a custom metadata type to a change set does not bring its records along. You must select the records and add them yourself.
A custom metadata type is an object that stores app configuration, such as mappings or business rules, as records. Those records count as metadata, not data, so a change set can deploy both the type and its records from a sandbox to another org, usually a production org.
What a custom metadata type is
A custom metadata type is an object that defines the structure for application metadata. Its name ends in __mdt. Like its records, the type's fields and the values in those fields are metadata rather than data.
Besides change sets, you can also deploy custom metadata types with managed packages.