You can do this but understand a few things.
1. you need to have a very low latency interface to play in real time.
2. Beware the computer glitches and crashes. This will take you out of the show quickly.
If I was planning to run a VST live, I would do it on a dedicated computer and a decent interface.
Having said that, I have seen a few "bands" that used Cakewalk in a live show to play almost all the parts. Everything seemed to go well for them.