Launchkey has 2 MIDI port sets. One for "normal" MIDI (keys, knobs/faders as MIDI controls for VSTi) and another "In Control", for DAW operations. Check you have enabled the second set (in Cakewalk MIDI devices section) and and assign it to AZ Controller. Not sure the name of the ports mention "In Control", can be there are named like "MIDI input 1" and "MIDI input 2".
After changing ports, reload the preset (it tries to activate "In Control" mode on load).
If that does not help, I will write more detailed proposal how to troubleshoot.