i use soundfonts with cake 8 and cake 9
with an sblive1048 and have had no trouble
first you have to tell cakewalk where the sound font lives,(attach soundfont)
then go to instument settings and select soundfont device for the midi channels you want to use, in the bank select dialog you will see the name of the soundfont you attached , make sure that you are using the right bank change message,for me it is controler0* hope this helps, i wrote this from memory ,if not email me direct i will try to solve it for you