I suspect it is a setting that you need to change in the mixer for your Sound Card. I have a Delta 1010 Card - so please be aware that the following information could be somewhat different for your card.
The Delta 1010 was supplied with a software mixer. Within the software mixer is a tab for Patchbay settings. In the Patchbay settings I can set Outputs for each of the 8 output connections that I have. The primary choices are Wave Out or Hardware Out. Generally for playback I leave everything set to "Wave Out". However, when recording, this setting does not allow me to hear the new track being recorded. I need to change the setting for the Input Channel that contains the live source to "Hardware Out".
For example, if I have a project with 5 previously recorded tracks, I will set Cakewalk so that those Tracks all feed to Wave 3/4 Out (it could also be set to 5/6 Out or 7/8 Out - anything but 1/2 out). I then go into my Delta Mixer and set everything
except Channels 1/2 to the corresponding Wave Out setting. I then set Channels 1/2 to "Hardware 1/2 Out". As soon as I change that setting I can immediately hear the live mic over the headphones (even before I start recording) Btw, my mic is plugged into Channel 1 input, which is why I use Hardware 1/2 Out.
I'm not sure I explained all this very well

, but the bottom line is you should check the settings within the Software Mixer that controls your Soundcard.
Also you should be aware that the faders within the Cakewalk program only control the playback level. They do not control the record levels. If you are coming into your soundcard from a hardware mixer, use the hardware mixer fader to control the recording volume (it will also, therefore, control the volume that you hear in your headphones for the live signal).
Good luck.