Midi thru device question

["Darren Littlejohn" <darrenl@blacksamba.com>]

I use my Morpheus from the Roland GR-33 Guitar Synth. But there's a 
problem.

Does anyone know why a MIDI device wouldn't respond to volume from the GK-2
pickup?
If I have my volume even on zero, midi data still gets thru, and volume
makes it REALLY loud but not quiet. Everything works fine with just the
GR-33, and the manual says the MIDI device needs to be set to recieve
Controller 7 messages, which I have all 4 available on the device set to 
07.
I do have it running THRU Cakewalk since the midiman is my patch bay so to
speak....

-d