Check the ‘Channel’ setting for MIDI tracks in Cakewalk. As well as setting Ch. 1-16, there should also be a setting for ‘All’ or something like that. So if you record a multi-track part to one track, when you hit play on the DAW ‘all’ the parts on that track should play out on the channels originally recorded in. If you set it to just one channel output, it will play all Parts into one sound.