I rarely use a mod wheel on my synth..... BUT, I do know that MC will record the mod wheel movements and that will control certain parameters in the synth playback. I have used it mainly for pitch variation. And IIRC it was recorded into the midi track and defaulted to pitch control in the synth.
MC3.... wow, that's kind of old. But if it still runs fine..... cool.
As far as using the mod wheel to control other envelopes and parameters, I have never considered that. The other envelopes I use are panning and volume and I prefer to do those all manually.