After you select the midi learn and click save, the MOD will look for CC messages to assign to the control you selected … are your launchkey knobs configured to send CC messages?
The beta plugin MIDI Display is very useful, allowing you to see what MIDI messages are being received by the MOD unit.
Try the MIDI Display plugin, as @SamIAm suggested, so you can see what your Novation is sending. Then you can properly diagnose the problem, with help if needed.
I knew nothing about midi before getting a Dwarf, and a little online research has been very helpful in terms of spending my time more on making music than troubleshooting!
Edit: (fyi just in case) you may need to click on the Midi Ports in the GUI, use separated ports, then connect your Novation out to the MIDI Display plugin in the GUI.