First of all make sure you do have all the ASIO drivers installed, I have Music Studio 14 and 15 and neither program will put out sound if I don't have the correct driver for each one; (magix low latency 2008 for version 14) (ASIO4ALL for version 15), I don't know which driver you need for your version.

Second, when you have your MIDI Controller/Synthasizer hooked up you have to be really careful that you are aware of the track you have highlighted. I recorded several MIDI tracks with modulation fx in a song I did, and everything sounded fine. However you have to remember that the controller AUTOMATICLY changes the modulation or pitch bend on whatever track you have highlighted. 

I hope my wording isn't too bad; Example: If you record in track 1 with a MIDI effect, and that effect allows you to do pitch bends or change modulation. The first time you record, your sound comes out exactly as you played it. Here's the curveball, If you then record on track2 with a different MIDI effect and you move the modulation wheel, or in your case the pitch bend wheel, the wheels will be in a different position. So if you then go back to track1 to edit something, the pitch or modulation will automaticly adjust to where the mod and pitch wheels are set.

This is ok, because once you click onto a different track your sounds go back to the original state, but if you leave that track highlighted and go straight to converting to wave or mp3 or maybe even if you save it, then it will change your sound. You will have to go back into that track, mute everything else, and adjust your mod and pitch wheels untill its close to what you had before.