Welcome Bruno.
Midi is cool stuff and the Cakewalk Sound Center (CSC) is one of my favorite synths. The initial CSC comes with around 150 sounds but you are free to add more from the cakewalk store. The sound paks are $20 each and very in the number of instruments contained in each. I've added pianos and world instruments.
A few things about midi. As long as midi notes are NOT the same note in a pitch sense..... for example 3 middle C notes in a row, you shouldn't have issues playing the notes. AND.... remember that each midi note has an ON signal to start it and an OFF signal to end it. If you accidentally overlap the notes those ON/OFF signals get mixed up and the result is notes that don't play or start or stop when you expect them to do so.
Another issue it sounds like you may be having is what is called LATENCY. Where the notes don't play AT the proper time but are delayed to one degree or another. This is a result of the sound card and the driver. Factory cards exhibit this more than the after market USB musical interfaces. It can be nearly impossible to work with midi on a factory card without pulling your hair out...... whereas the aftermarket cards make recording a breeze. My interface has no noticeable latency.
One workaround that may work is to FREEZE the synth track. Remember however, that MC only allows 8 synths max in the project. So if you have more than that planned, it would be a better idea to bounce them and reuse that synth for the next track. The latency will still affect the synth track you are working on.
Some folks have had success with ASIO4ALL, and some haven't.
Anyway....welcome. Ask questions, and have fun.