I figured out the solution (for Cakewalk at least), in the PBConnect VST Window, Cakewalk provides automation Read & Write toggles. If you turn on the "W" toggle, the track will then capture ANY automation (knob movement) from the PBConnect VST. So, it will automatically start creating track automation lanes (envelopes) for any knob you touch (that supports automation).
There are plenty of VSTs which transmit MIDI data (NI Maschine, VCV Rack, NI Reaktor, etc.), so I don't think it would be outside of the norm for the PBConnect VST to transmit MIDI CC data, they just chose to use VST (track) automation/envelope data instead. Maybe a limitation is how they implemented the communication between the hardware and software, or just simply a choice.
I think a lot of people prefer MIDI CC data as it's more portable, meaning typically DAWs store it inside of MIDI Clips as you mentioned, and I agree with.
I guess the feedback out of this (if Arturia is monitoring
), is that if possible have the VST output MIDI CC in addition to the VST track automation so users can decide which method works best for their workflow.