This is mostly Cakewalk's fault. They should never have called this button 'Reverb' - it is actually MIDI Controller 91 -
Effects : Depth or often External Effects Depth It will change the presence; however, most people are expecting that "echo" effect that we associate with the word 'Reverberation."
To get MIDI 'Reverb' of a sort - add the MIDI effect in Cakewalk - 'Echo Delay' - when you get there press F1 for a help file.
If it is not the effect you want, convert to Audio and work your reverb magic there.
In this audio world there still is value to MIDI; however, Cakewalk seems to have abandoned it - apparently because most of their customers have. Too bad!
Edit added here: Can't blame Cakewalk for calling it 'Reverb.' Others are in the habit of calling controller 91 'Reverb' also. The same folk who like to call Controller 93 Chorus. It is true that both are hardware dependent; however, I have not as yet seen any MIDI device that can do more than just a
simulation of Reverb and Chorus. To get the reverb of a large hall I have to set my sound card not the MIDI control. And even though chorus is much more full - it still doesn't sound like a bunch of the same instruments.
A Dxi or convert MIDI to Audio - is your best hope.