Automating delay plugi - Midi Learn issue

I'm trying to midi learn the U-He delay plugin MFM2.  I right-click the parameter I want to automate, and choose "Midi Learn", but moving knobs on my Midi controller do not work.  Documentation says "check the SAW settings" - not sure where in Sonar X2 I should check - can anyone point me in the right direction?

Thanks for the reply - sorry for my delay in reply, did not see it before.
 
I added a Midi track as you said, made its input my Midi controller.  I tried to make the output the delay plugin, but did not see the plugin in the list - it shows just my soft synth options.   From the plugin's VST drop down there is no "enable Midi input" to choose.  There is "enable as plugin" and "configure as synth".
I don't know what you mean by "The MIDI track will have to be focused if it is set to auto input."
Even if this did work as you suggest, I am not clear how the recorded automation will affect the soft synth track that I wish it too?  I have to route the Midi track I added to the soft synth?

@scook   Thanks for that - I'm using X2 (I must update my signature) but still, as you say, that feature came with X3, so I will try configuring as a synth as see how that goes.

When enabling an effect as a synth, if you have a project open, you might need to re-open the project to rebuild the effect and synth lists. If you are using custom plug-in layouts, you may need to edit them.