Ah, I see what the OP was talking about. When you mute the
clip, any CCs within that timeframe continue to be processed. Most users would reasonably expect CCs to be considered part of the clip, since a clip is defined as a sequence of MIDI events between two points along the timeline. SONAR reinforces that assumption, e.g. if you slide a clip any CCs within it will follow along. It would be logical, then, to expect CCs to be muted along with the clip.
However, it should be noted that the concept of muting continuous controllers
does not exist in the MIDI spec, only notes.
In fact, clips and clip mutes are also not part of the MIDI spec. Those constructs exist entirely within the DAW, and can thus be implemented any way the DAW designer sees fit. So whether the behavior described by the OP is a bug or not depends entirely on what Cakewalk intended when they originally invented the clip-mute feature. You'd have to ask Greg Hendershott about that.