midi pitch bend

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just brought a Casio PX-130 - plugged it in and selected midi input/output toggle button from insturment midi tab... works great...

recorded some notes in the LMMS piano roll window...

turned sound down on PX-130, only sound generated from computer coming out...

when playing music on piano music is coming out of computer, when I spin the pitch bend wheel the music comes out of the computer is bent with the pitch wheel, but when I play it back the pitch bend function isn't recorded into the piano roll along with the notes... is there any way to link them together so when I'm recording with piano roll, it records pitch bend inputs also?
I can see the pitch bend knob in LMMS change when I adjust it on the keyboard...

just can't figure out how to have it linked when I record in piano roll...