I have the same problem. I tried it with Kontakt instruments. There seems to be no midi CC attached to the sliders apart from volume(or when you assign it to expression it is expression).
Also the Sliders of the EQ could be very handy if there was a midi CC possibility. I found the sliders in this way to be usesless as midi controller. But I have assigned a footswitch on a midi channel to change the presets in Komplete Kontrol. For everything else I use the Behringer X-Touch mini. But it would be great if there was a firmware update to assign midi commands to the sliders. I am a huge fan of the CP4, I really love it. But in terms of communication with VST-Instruments it feels like from one hundred years ago. It is a pity. I have the feeling this great company Yamaha is just not up to date. They think to much in pianos and synths while they should think in combining pianos and synths with VST- Instruments. A piano must also be the best midi contoller on the planet or it is just outdated. I don't like the Komplete Kontrol Keyboards, but I fear I will habe to buy one though I would rather buy a Yamaha product with extensive midi-controll capabilities.

I am a huge fan of the CP4, I really love it. But in terms of communication with VST-Instruments it feels like from one hundred years ago. It is a pity. I have the feeling this great company Yamaha is just not up to date. They think to much in pianos and synths while they should think in combining pianos and synths with VST- Instruments. A piano must also be the best midi contoller on the planet or it is just outdated.

I, too, am a big fan of the CP4 STAGE,. We see you refer to the instrument as “CP4” probably why you missed the concept of being a STAGE instrument. The CP4 STAGE instrument (in 2013) - four Zone Master Keyboard function is designed for controlling other hardware device on stage. That was the focus on this product, back then.

Convenient master-keyboard function
“Using your stage piano’s master-keyboard function, which has been specially crafted for use in live-performance settings, up to four virtual zones can be set up along the keyboard and assigned to four different tone generators, including other MIDI instruments.”

Your options include
__ two Assignable Foot Controllers which can send CC01-CC95 (except cc32)
__ an Assignable Foot Switch which can send CC01-CC95 (except cc32), CC98 (Play/Stop), CC99 (PC Inc), and CC100 (PC Dec)

You are very incorrect about the synthesizers, they offer extensive MIDI Remote Control functions for external real instruments and computer based virtual instruments. In fact, the front panel can be setup to control your DAW, your VSTi, and most anything else.

Unfortunately, CP4 STAGE is from 8 and 1/2 years ago. (We had just one keybd product with multi-USB audio outputs — still a new thing)
The current CP-Stage models not only feature the ability to transmit CC messages from the front panel controls for use to control VSTi’s and other functions within your DAW, but they also can act as a USB audio interface for itself and all the functions you are running on your computer.

Amazing what a difference 8 years makes…Since the crystal ball that allows a company to see into the future are things of fiction…. it’s like complaining that your smartphone from 2013 doesn’t have 4K video capability or can’t run 5G… (you’re right, of course…it doesn’t, but it’s not Yamaha that is not up-to-date, in this particular instance).

The breakthrough with the CP4 STAGE was providing the best of the AWM2/Spectral Component Modeling engine (which is an absolutely brilliant bit of technology for reproducing a customizable acoustic piano) at a price working musicians could afford — and: the first thing a piano “must be”, is the best piano on the planet. Arguably the CP4 STAGE might still be in that conversation (even 8 1/2 years on).