Here's the basics:
1. On the controller set DAW Mode to Cubase.
2. In cakewalk: preferences > control surfaces > add Mackie Control > select in/out ports (mine's is currently set to MIDIIN3/MIDIOUT3.
3. > Utilities (from the topof cakewalk main menu) > select Mackie Control (wait for 'Mackie Control' window to open, may take a few secs). On the right side select "DISABLE HANDSHAKE"
4. You will have to teach cakewalk what knobs control what - in BOTH DAW mode and Preset mode (for vst instruments etc.). This is done using the ACT Module while in either mode. Generally you move the knob or slider first with your mouse then with the slider on on your 02 controller. You will see the knob/slider take control and move the cakewalk item. BTW I assume you want to assign faders and knobs in Console view.