Hello,
I hope that someone can help...
If I play a soft synth, for example Z3TA, without touching the filter dial, the note plays and records as expected. When I come to record that same note and alter the filter dial or decay, sustain or whatever, I can hear the timbre change, but when I play this recording back, I hear the note, but don't hear the variations that I made and heard at the point when I was recording and altering the filter etc.
Can anyone please tell me what I'm doing wrong?
Thanks,
Jonathan :)

Are you changing the knob with a mouse as it records or using a keyboard controller?
 
If you are using a keyboard controller then the midi message sent to control the parameter should be recorded with the midi information.
 
If you are moving the knob with the mouse then it may not be recorded. In that case you might have to use automation or a midi cc message mapped to that parameter to control it and have it be recorded.

I was using a mouse. I'll have to figure out how to match a knob / slider on my controller to the relevant knob on my soft synth. I've avoided that challenge until now so this is a good reason to stop being lazy and for advancing my learning!
Thanks reginaldStjohn!

Assuming the synth exposes it's controls to MIDI (and any you can control with MIDI do) you can create a track automation lane for whichever CC controls the relevant function on the synth. Set automation on the track to "write" and "read" and the mouse movements shoud be recorded as automation.

Not the same user-feel as turning a knob, but works fine.

You can also draw any CC into a MIDI track.