Hi There!
Your sound problem is related to the fact that even if you don't have the PSR set in dual voice mode, it sends the sound information anyway. So, in cakewalk, if you have a track only assigned to one midi channel (say channel 1), depending on what order cakewalk sends the midi information the PSR will select the sound.
This is only a problem if you select the voices from the PSR control panel. For this reason I would use the computer to select the voice.
Hope that this is of some help.
Brad.