I'm not familiar with Cakewalk, so can't help you there. Maybe some other forum members will step in for that.
However, the MxB has a local on/off function. You can find it in the MIDI Control Center (not sure if you're familiar with that?), or you can set it on the synth itself by going to the Settings Mode.
To do this, you press PRESET + SEQ + MOD simultaneously. The matrix will then display the settings for the synth. On row P, the first two buttons control local on/off. Also watch the preset and sequencer displays to see the status as you use the settings mode. Press any of PRESET, SEQ or MOD to exit Setting mode. You can read more about this in the manual "7.3 Settings mode".