Hey!
So...you're recording in Cakewalk!Now I got it..
Maybe you have a filter problem..in the midi menu on the keyboard there are filters for enable-disable, receive or transmit diferent midi signals like notes,patches,CC control number,volumes...etc.Maybe you need to open some of them for TX means transmiting.Also check Cakewalk midi configuration, there are filters there as well.
I'm using a very old version of Cakewalk...v.3.1 and I'm receiving any CC or PC,also modulation and wheel or sustain...but no sysex...I don't need it anyway.
Hope it helps,
Vio