By double clicking on the waveform, you are actually opening a copy of the wave in Sound Forge. This will only allow you to do "destructive" edits, which can not be tweaked or changed later on.
It sounds like you simply want to use some of Sound Forge's FX in PA9. They should appear in the list of FX available to you. There is no need to actually "open" Sound Forge.
My memory on how to do things in PA9 is a little blurry. I believe if you right click on the black FX box in Console View you should be able to choose your effects. The SF effects should be there along with the Cakewalk FX.
Add them this way, and then you can tweak them in real time.