When I reopen Sonar X1 none of the MIDI Learn I applied is remembered.  For instance:
Using dimension pro I right click on the filter cutoff knob and select MIDI Learn
I move the mod wheel.
Then I record 
When I play back, what I recorded using the mod wheel plays back fine (i.e. the filter cutoff knob moves and the corresponding sound is heard).  But when I close and reopen Sonar the cutoff knob is no longer effected by what I recorded.
What am I missing?
Rosssco61 

When I play back, what I recorded using the mod wheel plays back fine (i.e. the filter cutoff knob moves and the corresponding sound is heard). But when I close and reopen Sonar the cutoff knob is no longer effected by what I recorded.
What am I missing?

Well you are missing one vital step that you did not do, That is Save your project. Closing and re-opening as you clearly stated is not what you want to do. you need to Save it first, then close it
 
CJ 

Hey cj thanks for the help. And of course I did save. I just didn't mention it because I felt that was an obvious step. Even after saving and reopening it doesn't work

Using dimension pro I right click on the filter cutoff knob and select MIDI Learn.  I move the mod wheel.  Then I record. When I play back, what I recorded using the mod wheel plays back fine (i.e. the filter cutoff knob moves and the corresponding sound is heard).

It seems to me that you're using Dimension Pro's 'internal' MIDI Learn process (most RGC/Cakewalk synths feature this).  You don't need to 'save' anything.  The routings will persist across all instances of the synth - in or out of Sonar / host program - until you deliberately change it otherwise (using MIDI Forget, or deleting the config storage file).
 

But when I close and reopen Sonar the cutoff knob is no longer effected by what I recorded.

Now this part strikes me as strange.  The MIDI Learn bindings are saved in a file called MidiCfg00.bin.  It will be in the ... /Dimension Pro/MIDI subfolder.  I don't know if it's corrupted, missing (unlikely), or Dimension Pro simply can't "find it" (multiple DimPro installations?).
 
For some quick diagnostics:

• When you close & reopen the project, right-click on the filter knob again.  If everything is working correctly, it should state "MIDI Learn #1 (Mod Wheel)", with a new "MIDI Forget" option underneath that.
• Try to see if you get the same results in the Dimension Pro microhost [Dimension Pro.exe].
• Delete the MidiCfg00.bin.  It will be regenerated when you MIDI Learn a control again.  Be careful to delete Dimension Pro's MidiCfg00.bin.  A few other synths (like DropZone) use that same file name.

Thanks b rock
The problem isn't limited to dimension pro.  I just tried it with Rapture LE and Dropzone and neither of those are recalling the midi learn either.
regarding your diagnostic suggestions:
when I reopen, the knob still just says MIDI Learn
 
Dimension pro microhost (is this the standalone version?) doesn't retain midi learn either.
 
I didn't find a MIDI subfolder in the Dim Pro folder, so consequently I couldn't delete the MidiCfg00.bin.  Maybe I'm looking in the wrong spot?
 

I believe the problem is the MIDI folder does not exist. Create the C:\ProgramData\Cakewalk\Dimension Pro\MIDI folder.
 
Note: ProgramData is a hidden directory.

OUTSTANDING scook!!  That did the trick.  Thank you so much!

scook knows all, sees all.

Haha, apparently.

Glad you got it worked out. In fairness, b rock gets the credit. I could not have suggested the solution without his post.