If you are hearing sustain while playing but not hearing it on playback, here is your checklist of common issues:

The Sustain pedal message is a CC message and a value between 0 (no sustain) and 127 (full sustain). The values will be shown on the MOXF event list. Simply select the Track on the main Song/Pattern screen, and press [EDIT].

Sustain is CC64 with a data value between 0 and 127

A common mistake is to step on the sustain pedal before the Sequencer begins to record. Remember, MIDI is not audio, if you were to engage the pedal before the downbeat of Measure 001, Beat 1, Clock 000, you would hear sustain during record, but it would NOT during playback.

This is because the Sustain On command must be recorded.
The same thing would happen if you played Note-On events during the count-in — you would hear them, BUT they would not be recorded. Only events triggered during Record are documented.

Likewise, if you are still holding the sustain pedal when recording stops, the last notes will behave strangely until a proper Sustain Off message, cc64 = 0, is played. Make sure your sustain commands are documented to the Sequencer.
For every cc64 = 127, there needs to be a corresponding cc64 = 0.

The other thing is to make sure your instrument is set to Sustain Pedal = FC3 (Half On)

[UTILITY] > [F4] CTL ASN (Controller Assign) > [SF2] FT SW (Foot Switch)

Thank you Bad Mister. Looks like I made a common error, I have been pressing the sustain pedal before starting the Sequencer. Cheers, much appreciated. Dave