roger eckhard
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.                                                                                        

The exact steps I followed when I attempted to control TH3 Cakewalk Edition via MIDI.

At the time I posted the original question (which was just over 12 months ago) there was a confirmed bug in the then version of TH3 Cakewalk Edition that prevented MIDI from being received.  This bug has long since been rectified with an updated version.