Yeah there is a dialog that comes up, but it says nothing about linking parameters and controls, only cloning or "copying" them. You can link clips between the two, but if you think about it there would be no point in having two cloned tracks if everything else was mirrored between the two. And yes, this is only the case on instrument tracks - audio tracks are not affected.
EVERYTHING is linked between the two. If you change a patch on one track, it changes on the other. If you replace the synth on one track, it's replaced on the other. If you delete a plug on one track, it's deleted on the other etc. So if you clone an instrument track like I did hoping to get a basic starting point to experiment with a different mix direction, you're going to screw the original track and so there was absolutely no point making the clone in the first place.
This is a huge bug and one that falls under the category of "how in the hell did Cakewalk miss that?" Anyways I submitted a bug report.