Thanks for the advices. Unfortunately the problem cannot be solved so easily.
I try to describe in more detail and with screenshots how to reproduce the issue:
First, I create a virtual MIDI port (using loopMIDI) that I can use for MIDI input monitoring via MIDI-OX.
In Cakewalk, I connect the "loopMIDI Port 1" with my instrument file "Kawai MP7SE".
In MIDI-OX, I only select the MIDI Input "loopMIDI Port" to make sure nothing else interferes...
... and open the "Input monitor".
In Cakewalk, I select a bank and patch on the "track settings panel".
The MIDI-OX Input monitor monitors an LSB and a Patch-Change event, but no MSB:
Now back in Cakewalk, I insert a "Bank/Patch Change" event somewhere into the track (not position 00:00:00:00)...
... and let the song play until it reaches the event.
MIDI-OX monitors the following:
As you can see - this time, Cakewalk sent the MSB and the LSB before the Patch Change - this is correct!
Unfortunately, my instrument "Kawai MP7SE" does not change into "setup mode" if it does not receive the MSB event, that's why I can change patches but I cannot change to setups via the "track settings panel".
I hope that you now understand my problem and why I think it could be a bug in the software.