Knob movements cannot be recorded into a sequencer

Most sequencers feature the ability to "Re-map" the MIDI Channel. Check
that the playback channel of the track on the sequencer corresponds to
the RX channel of the DrumStation / D-Station. Sequencers usually have
a feature to "Filter" out Controller data, check this feature is not
active on the sequencer also check that "Remap Controllers" is not
active on the sequencer.