I’m not sure if it’s the same on SP’s; but on my LP, the mod wheel has to be up before any modulation can be heard. I think this also applies if you are controlling it directly from your computer (no keyboard controller).
You can also try holding down the Mod Amount button until it blinks. Now when you turn up the Mod Amount you should hear the modulation, even if you don’t push up the mod wheel on your keyboard.