I MIDI Learn one slider and it works fine. But after
 
- inserting new instance into the same project;
- saving project, closing and re-opening
 
I have no more assignments. Right-clicking that same slider, I am presente with MIDI Learn again.
Also important: clicking Options > Show MIDI Configuration File NOTHING happens.
 
Please help, this is annoying.

I recall helping out a user once who recently installed / re-installed z3ta+ from the Sonar package.  It was quite similar to what you're reporting here.  The problem turned out to be that no MIDI Learn folder was created by the installation process.
 
Check to see if you have a MIDI Learn subfolder under z3ta+.  Depending on your O/S and versions, it should be under Application Data or Cakewalk Content.  If it's not there, create a MIDI Learn subfolder yourself.  That should 'feather the nest' that the MIDI Learn process is looking for.
 
Faiiling that, search your system (including Hidden Files) for MidiConfig00.bin.  Most - but not all - Cakewalk synths use this file to store MIDI Learn configurations, so check first for the synth it's located under.  [I believe the Dimension Pro equivalent is named MidiCfg00.bin.]  The ten storable MIDI configurations run from MidiConfig00.bin through MidiConfig09.bin.
 
The midicfg.txt that appears when you select Options > Show MIDI Configuration File is generated from the active MidiConfigxx.bin file.  If there's no MIDI Learn subfolder, then there's no place to put the MidiConfigxx.bin file. No midicfg.txt will be generated.  In an Explorer window open alongside z3ta+, you can see MidiConfig00.bin appear (under MIDI Learn) as soon as a successful Learn operation is completed in z3ta+.

Yes - that solved it.
In C:\ProgramData\Cakewalk\z3ta+  there were just 2 folders: MIDI Apreggios and Programs. I created the folder MIDI Learn. I then assigned some CC and 2 files were created inside this folder: midicfg.txt and MidiConfig00.bin
 
Thank you very much!
 
Too bad that, in order to use Sonar properly, one has to know a lot of other things besides making music... :(
 

There are SOOO many things to learn and retain - that's what is so nice about these forums.  I learn things every day in here, and it is one of the reasons I try to help others.  They help ME.  It works out pretty well, and I think it is one of the strengths of Sonar/Cakewalk.
 
The software is quite complicated - but is made easier with the redesign of the UI from the introduction of the X series, and there is SOOOO much one can now do while sitting comfortably at home, versus how much it would have cost 10-15 years ago to have this kind of power.
 
Bob Bone