I'm trying to midi learn the U-He delay plugin MFM2.  I right-click the parameter I want to automate, and choose "Midi Learn", but moving knobs on my Midi controller do not work.  Documentation says "check the SAW settings" - not sure where in Sonar X2 I should check - can anyone point me in the right direction?

The easiest way is to setup a MIDI track and set the input to your control surface and the output to the plug-in. You will need to first enable MIDI Input on the plug-in through the VST drop down on the Plug-in toolbar. You can then record automation to the midi track and it will playback with the recorded automation. The MIDI track will have to be focused if it is set to auto input.
 
I believe the documentation is geared toward using a control surface to set up as an ACT controller. This setup doesn't require the midi track to record automation but involves extra setup.

Thanks for the reply - sorry for my delay in reply, did not see it before.
 
I added a Midi track as you said, made its input my Midi controller.  I tried to make the output the delay plugin, but did not see the plugin in the list - it shows just my soft synth options.   From the plugin's VST drop down there is no "enable Midi input" to choose.  There is "enable as plugin" and "configure as synth".
I don't know what you mean by "The MIDI track will have to be focused if it is set to auto input."
Even if this did work as you suggest, I am not clear how the recorded automation will affect the soft synth track that I wish it too?  I have to route the Midi track I added to the soft synth?

If you are still running X1 there is no "Enable MIDI Input" option on the VST drop down, that is a new feature in X3. You can enable the FX as a synth and it will appear in the output choices of the MIDI track. Configuring an effect plug-ins as a synth does have the side effect of moving the plug-in from the FX list to the synth list but you can still insert the synth in the FX bin.

@scook   Thanks for that - I'm using X2 (I must update my signature) but still, as you say, that feature came with X3, so I will try configuring as a synth as see how that goes.

Well, I tired it with enabling the MFM delay as a synth, and that didn't work at all.  In fact, I lost the plugin completely - as a audio effect or a soft synth insert.   I got it back as a effect, and used the W (Write) button to record a bit of the effect, then edited a bit, adding nodes etc.  I'm not sure if that is the easiest way or most effective way or not, but at least it seemed to work - as by writing the effect in, the "wet" level that I was trying to edit over time then showed in the list of editable paremeters ...
 
Though I am still no nearer learning the solution to why the "Midi Learn" function did not work - if anybody has any idea on that?

When enabling an effect as a synth, if you have a project open, you might need to re-open the project to rebuild the effect and synth lists. If you are using custom plug-in layouts, you may need to edit them.

And you need to delete and reinsert the fx as a synth. .to enable learn you need a midi track pointing to the effect with the input from your controller and input echo armed for the midi track. By far the easiest way to accomplish this is to add an automation lane for the effect knob you want to control, expand automation lanes and right click the parameter slider and click remote control. Then jiggle a pot or slider on your controller and click the learn button.