Why not let the Fantom create its own audio sound, and run the audio output into the audio input on the interface or computer?
Or.... connect Fantom Midi OUT to midi in on the computer/interface...and then MIDI OUT on the interface to MIDI IN on the interface/computer.
This second way lets the midi data go to the Cakewalk software to be recorded and is sent back to the fantom to trigger it's internal synth.
(I'm assuming the fantom has internal hardware synth in it to play music)
Be sure the midi channels are all set properly. If they are not, the software and the fantom will not talk to each other properly. The result will be correct wiring but still no sound.
hope this helps.