If it helps anyone, I came up with these (surely confusing and vague) steps:
Sonar: UTILITIES (top menu) ==> Control surfaces. The ACT Midi controller dialog box opens
Note: on bottom of this dialog box, "Active Controller Technology" already has a checkbox for enabling Z3ta+2. I don't know how it knew this; maybe I had that track highlighted. I had a true pianos track in my projects as well.
Don't bother with a preset.
Click the ACT button in the ACT Midi Controller box (upper right)
Click on the CUTOFF FILTER slider on the Z3ta synth box
Use the controller on the keyboard (the Oxygen 61) you want to use to control the cutoff filter
Unclick ACT in ACT MIDI CONTROLLER box
The two should now be associated.
There's no need to use "midi learn" or the "options" tab.