It looks like Greg made some headway on the ID side of things.
Let's look at your signal routing.
I have found precious little information on the Cheetah, but I assume it has a standard MIDI DIN output.
You will need two MIDI cables.
The first will go from the MIDI OUT of the Cheetah to the MIDI IN of the B-Control.
The second will go from MIDI OUT A of the B-Control to the MIDI IN of the Nanopiano.
In SHS4, go to Options>MIDI Devices, and make sure all of the B-Control MIDI I/O ports are selected.
Also in Options>Audio select the B-Control Line In as an Input.
I'm not entirely sure how these will appear in the menu, but they should be fairly obvious.
You will also need two 1/4" T/S cables(ie. instrument cables).
Connect the Left/Right Outputs of the Nano to the Line In L/R of the B-Control.
In SHS4, insert an Audio track, and a MIDI track.
In the MIDI track:
Set the Input to the B-Control MIDI IN port.
Select OMNI or the channel the Cheetah is transmitting on.
Set the Output to MIDI OUT A.
Match the output channel to the channel the Nanopiano is set to receive on.
In the Audio track:
Set the Input to the B-Control Line In
Set the Output to your soundcard, or preferably your Master Bus.
To hear what you are playing, turn on Input Echo.
To record the nanopiano audio output, arm the track, and hit Record.
Here's the good part.
You record your actual performance to the MIDI track, just as you would with a soft synth.
You can edit this track at will.
Once you are satisfied with it, you can record the nanopiano output to audio.
Softsynths do exactly the same thing, but because the connections are virtual, and inside the program, they may be less apparent.
I hope that all makes sense.
It's really just a matter of completing the signal path.