I'm glad you brought this up. I never even thought to do this, but after reading your question I tried it and, like Giganova said, it's very easy. I can't help with Vegas, but some of the same things may still apply.
Tex is right, no defaults in Sound Forge, but it does have learn. In Sound Forge go to the OPTIONS menu and select MIDI TRIGGERS. This will open up a box showing a list of parameters you can assign.
In the lower left corner, put a check in the box next to ENABLE MIDI INPUT/SYNC TRIGGER. Next, highlight the parameter you want to assign (PLAY for example), then press the button on the VM3100 you want to assign it to (PLAY for example).
You will have to enable MIDI control everytime you open the program though. The keyboard shortcut is CTRL+F7.
That should get you going.