Not sure if this is a bug or expected (but not documented) behavior.
Create two MIDI tracks, set the Track Channel to the same value on each track. Enable “Record Fader&Knobs” on each track. Set the Fader on each of the two Tracks to a different CC value (e.g. CC 19 on Track 1 and CC 20 on Track 2) on the same MIDI channel. Moving the faders manually, you should see (in a MIDI monitor) incoming CC values for each of the faders. Now, in Step Program, for each Track, create events in the sequence with different recorded values for each of the Faders on Track 1 and Track 2. Using a MIDI monitor you will see that only the output for MIDI CC from the recorded events is coming from the first channel, and nothing from the second channel.
Not sure if this is intended behavior, but I assume not since you can set the Faders (or Knobs) to specific channels and CC values independently. Basically, the recorded behavior for MIDI CC values doesn’t correspond to the manual behavior you can perform.
Sounds like the same issue as experienced here: Multi instrument / track MIDI CC control?
But, there was never any follow up on the above and it was before the latest firmware.