I can be helpful if you attach the preset in question (SPP file). I don't exclude some bug within AZ Controller, but there are many places where something can go wrong, especially with "looping".
I also suggest to check AZ controller doesn't "see" your incoming message. In your example, once you activate "T1 REC ARM" AZ Controller should (invisible in the interface) send corresponding MIDI to your PIC. In case PIC sends something back, you should see that in the "Last MIDI event". If that really happens every second time, there is a big probability Cakewalk and/or AZ Controller itself are involved. If the message is received, you should see what it does in the "Overview" tab. May be the logic of preset is somehow incorrect.
Note that AZ Controller (and so preset) can be loaded before or after project, at any time project status can change (making requested information failing). If that saves something "wrong" in Software States, future reaction can be different from manually loading the preset, so when project is available for sure.