Thx, guys!  It is working fine now.
 
I didn't have a separate midi track to route the midi keyboard to TH3.
I was using Strum GS2 with a separate midi track.  TH3 is an effect on the Strum GS2 track.
I assumed that the midi info was automatically passed through to the GS2 instrument track - because it works that way with the midi effects.
 
I'm using 2 keyboard controllers and nanoKontrol2.   Both keyboards have expression and damper pedals.  
 
Is there a workaround to have a single midi track passed to the synth instrument and the audio effects for the synth instrument?

Never mind. I got it working. I had the FCB1010 off on a wrong bank so the toggle switches weren't toggling. First I got the expression pedals working. Then I noticed I was on the wrong bank.
 
All better.