Are you trying to bend the note at the same time you are playing it or are you trying to bend it after it has been recorded already?
If it is while you are recording the notes, check the MIDI tab under Options/Global Options and make sure that Pitch Wheel has a checkmark in it. I am assuming you are using Sonar 5, though this should work with 4 or 3. If this doesn't do it, I am at a loss of what else to suggest.
If it is after the fact, then I think you need to arm the track for automation record, though I have never tried recording knob movements with midi tracks.
This is all I can think of to try at the moment.
Good luck and let me know how it goes.
cycloptic