I have also just downloaded and installed Cakewalk, and have the same problem. I went through every page of previous posts about this issue and watched every video and tried every setting, but I still am not getting any sound. As a total beginner I find it frustrating that tutorials for "beginners" start off assume we beginners know stuff we clearly don't know.
Anyway, the only time I get sound is when I direct the output to "Microsoft GS Wavetable Synth", and clearly that's not coming from the soft synth.