You have to specifically enable Midi input for it to work. Having Finger installed as an effect on the audio track is the right approach though. Honestly I haven't opened Cakewalk since the Sonar Platinum days so I can't be certain the following looks exactly the same in CbB. But the following should get you on the right track (Go down to the "To Enable VST Midi Inputs...." section).
https://www.cakewalk.com/Documentation?product=SONAR&language=3&help=Mixing.40.html