This is just a guess but alot of the lower end Yamaha keyboards don't transmit the arranger info through midi. At least, that's how I remember it from a few years back. I'm sure the basic note on/off info can be transmited from the keyboard into Cakewalk - just be sure the record channel is ON, and the midi transmit is working on the Yammy. It may have to be set to transmit before it actually goes out the jack.
Again, I am "winging" this from past experience, in lieu of an informed opinion. Please take this as a suggestion only - I'm definatly NOT sure about this.
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