It sounds like you can do the following (trying to sum up your question):
When cakewalk is idle (not playing or recording) you ARM for recording and click the Monitor button and you can hear the signal coming through the speakers.
But when you click the Record button you can't hear anything BUT you see the meter going up and down.
It sounds as if you are disabling the monitoring when you go to record??
I have never used the motu mk2 but i checked out the spec's on the mk3 and it looks like you can do the following (and i'm totally taking a guess here):
First make sure cakewalk has all of the channels of your hardware installed... meaning you can see all of the in/out channels in the Audio In/Out section.
Then setup (channels 1/2?) as your monitoring (out) bus. Then make sure you setup the tracks to output to your monitoring bus (which can then route to headphones or (which i recommend) a headphone amplifier via 2 1/4 inch jacks on the motu).
Then when you record make sure you have the Monitoring button clicked in the ON position which then you should be able to hear yourself in the phones.
[record away!]
If there is a delay, make sure you are using the correct drivers, I don't know if the motu has ASIO drivers, but if it does, use them... My delta1010 has ASIO and i get a 5ms delay which is not noticable when recording.
What kind of delays are you dealing with?