I have on several instances recorded through a soft synth from an Oxygen midi keyboard. But I mostly use guitar and bass, so I never learn the mandatory steps to take. Today I needed a soft synth from kontakt, and it simply does not receive input from the keyboard. This happens so often that I hesitate to even think about a piano or other midi things in my projects. Virtual keyboard works. I've allways had to fumble around until suddenly, it receives my input with sound.
What am I missing? Why is this setting not enough:

You've probably not assigned a MIDI IN to the track Kontakt is on:
 

 
Try setting it to All Inputs, MIDI Omni as shown above first.
 
You can be more specific, and tie it down to a single controller and/or MIDI channel if needed.

Thanks, Mark!
That setting is the first thing I try as part of my "fumbling around" procedure. :)
Other times/synths, this input is set to none by default, and it still works. Seems very random, very hit'n miss and confusing.
 

Set your MIDI channel input to Kontakt.
 
If at any time you lose control between Kontakt and your MIDI controller simply ckick on the MIDI track Kontakt is assigned to, or click on Kontakt in the Synth Rack in the browser.
 

Thanks, Steev.
Decided to try this again now. So I inserted same kontakt synth, and tested without any change of settings.
-Input set to none by default. And there was sound. There was registered input. Hit today. Miss tomorrow, maybe.

You also need to assign a channel on the Kontakt synth, in addition to setting a channel in Cakewalk. These channels must agree.  If you pull out the grab bar in the clips pane/track view, you will see three options. (Using the settings on the left of the screen is too confusing). So, set the first one to Kontakt/Omni.  In the second option, choose the Kontakt synth. In the third column, set channel to whatever you want (let's say 1). Finally, on Kontakt you need to do two things: choose the first output, and in the drop down list select channel 1. These two settings are directly under the Name Of The Instrument on the Kontakt Synth. Yours should say:
 
Piano
Output One
Channel Two
 
That should do it.

Thanks, Michael!
But why then, did it just work yesterday, without doing anything other than inserting the synth?
I changed no settings in any column. Nor did I set anything in Kontakt. 
Input on the strip was set to "None"

I've had weird MIDI stuff happen that turned out to be a bad MIDI cable. You're probably not using a MIDI cable, but how about trying a different USB cable?

Seems plausible, bjorn. My chair has wheels... :)

Moxica
Thanks, Michael!
But why then, did it just work yesterday, without doing anything other than inserting the synth?
I changed no settings in any column. Nor did I set anything in Kontakt. 
Input on the strip was set to "None"

Try loading multiple instruments, each with different channels. It may be that loading only one inst. is like using the Dimension Pro synth, where you only have one inst per synth, so the channel doesn't matter. It works, but only for that one inst.