Nothing extraordinary need be done to record "a simple controller from Montage", if by simple controller you mean MW, PB Wheel, Ribbon, Sustain pedal, etc., these default to always transmit Out via Midi. In order to record the Super Knob, and Assignable Knobs, you may need to activate your DAW'svanility to record and playback System Exclusive messages.

You also need to make a decision about whether you require multiple MIDI channel output or a single channel output for MIDI data. Which you choose will depend on on the type of Pergormance you are recording.
Multi Part, single instrument = MIDI I/O mode should be Single
Multi Part, multiple instrument = MIDI I/O mode should be Multi

Sorry, I don't know Ableton, so you'll need to check the documentation on enabling Sysex recording/playback.

Are you able to record MIDI Notes? If yes, then you should be able to record sustain, MW, Pitch Bend, etc., etc., etc.
Let us know.

The problem is that when local is on I can only record midi notes (controllers are not read as midi messages). When I switch to ""Midi Rec on Daw" mode Local becomes off. I still can only record midi notes and controllers become disable on Montage - so I can't even move any nobs for any controllers. There must be some type of setup in Live. I can do standard external instrument option in live but that will follow through the audio input on my Apollo Audio card. Can any Live users explain their setup of Montage setups in Live?