Changing Patches in a VST Instrument from a MIDI Controller Keyboard

It has bugged me for a long time that when I hit PROG UP/DOWN on my external MIDI controller keyboard (iRig Keys PRO) it has no effect on whichever VST instrument I happen to be using. This would be very useful for example when auditioning patches for a song especially where the UI is hard to use e.g. Xpand2 which has the world's tiniest on screen buttons for changing patches!
 
So I thought it was time that I investigated the problem. Strangely a search here and on the web in general didn't really uncover anything useful.
 
For example, insert an instance of Z3ta+2 on a track. Hit PROG UP or DOWN on the keyboard and nothing happens.
Right click on the "next preset" button in Z3ta and select MIDI Learn and hit PROG UP and ... nothing happens.
Next time I hit PROG UP nothing happens.
 
Send a PROG CHANGE message from the iRig Keys (Press Oct Up/Down and same time, press PROG, then e.g. 045, then Enter).
Yet again nothing happens in Z3ta.
 
When I record all the above on the Z3ta track it shows up in the event list as patch changes...
 

 
So, what am I missing? Is there a setting in Sonar that I have missed? I have been through every item in Preferences but haven't found anything that would change this situation. I have also searched in vain through the menus and options within any VSTi that I have tried.
 
Thanks in advance,
ZT

Thanks Dan,

Yes I see what you mean. I guess there would be no real need for VST instruments to respond to Program Changes other than for auditioning patches. Could explain why I haven't found any!

The only time I care about triggering program changes from a midi controller is in a live situation, and the software I use for live performance is what is handling all of the preset changes - in other words it is that VST HOST software that is changing the loaded combination of whatever layers and whatnot are saved as one of ITS presets.
 
So, for creating preset 10, I would go into whatever individual VST instruments I wanted to be part of that preset and manually change each synth's preset to be what I wanted, then use the host software to take a snapshot of that whole configuration, into preset 10, and do the same sort of thing for preset 11, and so on.
 
Then, during my performance, hitting preset 10 on my midi controller would pull up the VST hosting software's saved settings for each and every synth I had not muted, along with the saved settings on each.
 
SOOOOOO - because I CAN do the above, it MUST then be possible for every one of those synths to respond to program changes, which then means you should be able to do it in Sonar.  How else would loading a Sonar project result in the proper presets all getting loaded in the first place?  Sonar had to have a way of telling Kontakt to load the correct instrument on the right midi channel, etc.....
 
I never really thought about it much, because as I initially indicated, I only really worry about program changes when performing live, using VST hosting software (Brainspawn's Forte).
 
Bob Bone