More experiments.
Started a new project template with just 2 instruments in kontakt. Went through the same process of creating the expression mapping. If I leave the automation lane on and save the template, close cakewalk, and reload, it won't initially respond. If I then open up kontakt and click on the knob, the remote control automation will respond again.
If I then turn the automation lane off, save, and reload, and then turn the automation lane back on, it will never respond even after messing with the expression knob in kontakt. Some weird, buggy failure to save state between the player and the DAW for host automation.