Hopefully I can explain this well. I just installed Sonar Artist and I'm still getting used to it.
 
I create a SoftSynth VST2 track. Pick the Cakewalk Sound Center. Pick a piano patch.
 
When playing via my controller, the sustain pedal seems to have no effect - notes are not held.
 
I set the track to record and play several notes with sustain, some without, etc. I do not hear sustain, all notes turn off when my hands are off the keys.
 
I playback what I recorded, and I can hear sustained notes when I held the pedal. I can verify that the pedal events did indeed record by looking in the Event View of the track.
 
This only seems to happen with VST2 plugins, but the DirectX plugins work as expected (sustain pedal works "live").
 
To sum up, I cannot hear sustain pedal effect when playing "live", even though I can verify that the events are being sent and recorded and will have effect on playback.
 
Here is a screenshot with proof: 
 
Am I missing a setting somewhere?
 
 

What controller are you using. Do you know if it send All Notes Off (CC 123) on last key up (like my old Roland RD-300s)? Some soft synths do not respond correctly to  it, letting it override CC64. TruePianos is one of them. NI Akoustik and Elektrik pianos and other legacy NI instruments also mishandle it. If that's the issue, you can use the free TenCrazy SustainFix MIDI FX to block it.
 
 

It turned out to be my aging Roland D-50 that was the culprit. It was the keyboard I had handy at the time. I've since switched over to a Roland VK-7 and the problem resolved itself.