I think there might still be an issue with Program Changes with vst3 but not with vst2.  Below is an Overloud email response I received on 8-29-16 about this (email pasted below).  I'm assuming the issue still persists but I haven't tested vst3 with newer versions since then.  When new releases come out, I only install the vst2 dll.  And I uncheck Preferences->"Hide Related VST2 Plugins" and "Replace if Possible on Project Load".  This is what TH3 suggested I do and then program changes work for me.  I don't think there is currently any other midi issues other than Program Changes.  Oh, and I'm running the full version.
 
Email from TH3 8-29-16:

There is absolutely no difference in functionality between TH3 VST2 and VST3 (aside, of course, of this issue regarding MIDI which is obviously not intended). 
 
The current state of TH3 VST3 as of version 3.2.2 is that it supports CCs and Note messages, but still not Program Changes. 
It may sound funny somehow, but the VST3 specification does not include "out-of-the-box" support for Program Change messages, replaced by a much more convoluted abstraction (which no one really uses in its full capability). 
The result is that the old "Program Change" functionality has to be "emulated" instead, in some way or another. At the moment we're deciding which way it is best to design this emulation.
 
The good news is that the VST2 is still fully functional with all its MIDI capability, so if you wish to update from the special 3.2.0 that we have sent, you can do so updating with the latest 3.2.2 and then remove the VST3 plug-in from your system (or choosing not to install it right from the installer).

Does not work for me with only VST2 installed (full version)
I can see midi activity in Sonar, but TH3 (learn) does not receive any midi message.
Works ok in standalone, but not within Sonar.
Unless I'm missing a step?
 
 

The way I set it up is I have 2 tracks.
Audio track -> Input is right channel of my audio interface where guitar is plugged into.  Output set to my audio interface output.  In effects bin add an instance of TH3.  If I open up the TH3 vst, the header has VST2 drop down where I have Enable MIDI input checked.  You can also verify you're definitely using VST2, as opposed to VST3 by clicking on INFO tab.
 
Midi track -> Input set to my ADA program change footswitch channel Chan 13, Channel set to Chan 13, output set to 2-(TH3 1) - or whatever the TH3 instance happens to be.
 
I've found it to be a bit finicky when I save those two tracks as a template.  I usually load the template, find it not working.  Then I delete the instance of TH3 in effects bin, and then add it back in, then reset my Midi tracks - then it works.
 
Are you sure you're using vst2 instance?  I had both vst2 & vst3 installed originally, and I didn't know that.  So for a while I was probably picking vst3 instance and not aware of it.  That's when Overloud told me to uncheck Preferences->"Hide Related VST2 Plugins" and "Replace if Possible on Project Load" and program changes started working then.  But probably the best way to go is to delete any vst3 dll and only install vst2 dll.

craigr68
The way I set it up is I have 2 tracks.
Audio track -> Input is right channel of my audio interface where guitar is plugged into.  Output set to my audio interface output.  In effects bin add an instance of TH3.  If I open up the TH3 vst, the header has VST2 drop down where I have Enable MIDI input checked.  You can also verify you're definitely using VST2, as opposed to VST3 by clicking on INFO tab.
 
Midi track -> Input set to my ADA program change footswitch channel Chan 13, Channel set to Chan 13, output set to 2-(TH3 1) - or whatever the TH3 instance happens to be.
 
I've found it to be a bit finicky when I save those two tracks as a template.  I usually load the template, find it not working.  Then I delete the instance of TH3 in effects bin, and then add it back in, then reset my Midi tracks - then it works.
 
Thanks, 
 
Are you sure you're using vst2 instance?  I had both vst2 & vst3 installed originally, and I didn't know that.  So for a while I was probably picking vst3 instance and not aware of it.  That's when Overloud told me to uncheck Preferences->"Hide Related VST2 Plugins" and "Replace if Possible on Project Load" and program changes started working then.  But probably the best way to go is to delete any vst3 dll and only install vst2 dll.

Thanks for your feedback, Craig
I uninstalled and reinstalled by selecting only VST2. I find that having to go through a parallel midi track to get the the controller to respond is just a workaround, as what I want to achieve is recording the audio performance altogether, not the controller events. 
TH3 is supposed to get the midi signal directly from the controller, in real time, as it does in standalone. Then you can just record as you play. Lots of other plugins work perfectly this way.
It just doesnt work and based on earlier comments on this post, this was supposed to be fixed by Overloud a while ago. 
 
 
 
 
 

Am I following you correctly?  So do you want to set up one instrument track for TH3, like you can do with any virtual synth for instance, and record both audio and midi to that one track?  Since an instrument track is really a combination of an audio track and a midi track, all I'm doing is splitting them.  I often record guitar audio to the audio track and midi program changes, cc, etc to the midi track.  What is your controller device exactly?

Let me get this straight...are you saying that if I just insert TH3 in the fx bin of an audio track, the plugin cannot receive midi input from any controller you have setup in Sonar?
I'm able to control numerous fx/vst plugins with my midi controllers. Then, I just send the output of the track to an aux track, arm it and record while moving the controller.
Using the same method, for example, I would control the TH3 wah via my midi pedal board and record the live performance.
But when I try to get the wah pedal to learn the controller trigger, TH3 tells me it can detect any midi signal. I don't have this issue with other plugins. They learn the binding right away.

I'm not sure I'm being any help to you.  I'm about 1.5 years in to Cakewalk and one of my most frustrating things was getting TH3 to respond to my Ada Program Change footswitch while I was playing along on my guitar.  Somewhere I found a posting on this forum that told about the 2 track method I described above and it worked for me once I realized the vst3 caveat also mentioned above.  So I'm no expert on this.  If I understand you correctly, you want to set up "one audio track" with TH3 in the fx bin and then be able to midi control TH3 like that?  I thought with an audio track you only have audio ins and outs and I didn't think there was a way for Midi to be applied to what's in the FX bin.  That would be nice if it worked that way.  I pretty sure I tried that early on and could never get it to work.  You say you have plugins that work that way with audio tracks?  Are they Cakewalk plugins?  I do control virtual synths with midi controllers all the time, but they're instrument tracks which are a combined audio and midi track.  Maybe scook will chime in.    

Thank you, Craig
I do appreciate your feedback. I'll check with Ouverloud as there's definitely something that doesn't jive...

Oh, and Happy New Year to you!!!

Ok, cool.  Please let us know what you find out cuz this whole subject has been of interest to me although I had settled on the 2 track method as good enough and works for me.  Just occurred to me that the ball drop is near.  Happy New Year!

you have to create midi track for controller and midi enable th3 under vst dropdown list.  then set midi track input to(controller name)and set output to (th3).make sure to set tracks to echo input.