Try this:
Arm an empty MIDI track for recording.
Press Record in Sonar.
Do nothing but wiggle the Mod Wheel.
Press STOP in Sonar.
Open the Event List View. Do you see MIDI data recorded?
If so, the problem is whatever instrument you are attempting to drive with the MIDI track, isn't responding to the CC events.
Check the event type and let us know what kind of data was recorded (can't remember what mod wheel is, offhand)
If not, then the problem might be in the MIDI interface. any chance there is a filter removing certain MIDI event types?
If not, then the problem must be in the Novation controller, not sending MIDI events.