I'm confused by the Select Controllers Along With Notes option in PRV. When the option is enabled, indeed, I can select some notes and the pedal markings are selected too, but then when I Ctrl-drag them to copy, the pedal markings don't also copy. 
 
See gif below. I first select the notes, and delete them, and the pedal markings delete along with them. So far so good. Undo, then I ctrl-drag to copy, but the pedals do NOT copy also. Seems kind of a pointless option if this is as designed. It's like "Yeah, we said you could SELECT them along with notes, we didn't say you could actually DO anything with them though".
 
http://imgur.com/a/9AsHK
 
In a similar vein, the only thing I ever use the CC: Pedal Sustain for is pedal up and down (0 and 127). This is very difficult to select, however, since I need to get the mouse positions exaaaaactly right to grab them. And it's very difficult to see whether they are selected of not. Is there any way to set things up so that I can just have UP and DOWN displayed cleanly to make that a lot easier to use?

Hi. Regarding the copied controllers. The first notes (left selection) are the ones selected, not the copied ones. Do they appear if you select the copies?
I would prefer it this way, as I do not necessarily want to do the same with the copy as the originals.
All the best.

The inability to drag copy the selected controller(s) with the notes appears to be a defect in SONAR X3e.  Moving the selected data works as expected and as your video shows, deleting data works as expected.
 
You can use Copy/Paste as a workaround.
 
This defect was corrected sometime during the SONAR 2015 or 2016 development cycle and works as expected in the current SONAR [2017.01] release.  The only way to get the fix is to upgrade to the newer SONAR, since SONAR X3 is no longer being patched.
 
Hope this helps,
-- Ron

For your second item, I'm not sure that X3 has this but in current versions there's a preference for setting the velocity line's width that can make a bit easier to grab:
https://www.cakewalk.com/Documentation?product=SONAR&language=3&help=Dialogs2.078.html