That dialog serves just one purpose, enable some control over Cakewalk from keyboards/DPs which have no DAW controller functionality.
For example if you have Digital Piano with 3 pedals, that assignment allow you to use up to 88 commands when let say left pedal is pressed. That is great feature I was missing in REAPER when I have switched. I have missed it so much that I have re-created that functionality there (till AZ Controller is written for REAPER).
But specialized controllers are working throw specialized route. That has many advantages, including multi-functional buttons and combinations, feedback, etc.:
Generic Surface is the simplest to learn and support all MIDI events (f.e. SysEx as on some MMC capable controllers). But it has fixed list of available operations
Cakewalk ACT MIDI allow all commands from "General Bindings" page in preferences and simple one modifier combinations. But it does work fine with MIDI CC messages only (Note off are "leaking" in stock version) and implements fixed number of physical controls (8+1 buttons, 8+8 knobs or sliders)
AZ Controller is most tricky to understand and configure from these 3, but it has no limitations (has feedback, OSC support, etc.)
So there are several options how to configure the transport buttons, but MIDI assignments in the keyboard shortcut section is not the way to go in this case.
At the moment I do not like NI:
They have declared NKS (in part of common switching presets and light guide) proprietary and are not going to change that
They are selling TFT monitors and LEDs as accessibility tool... (at least they have plans to change that with A, but for some reason that has not happened last months).
If they fix at least issue (2), I can try to support S 2 and A. Technically that is possible (with AZ Controller).