In order to make the Sustain pedal work on your MIDI controller you have to do 2 things:
1.- Go to: Studio One > Preferences > External Devices
Double-Click on your MIDI device to make the Edit Device window appear. Uncheck every single box on the Filter Section. Close the Edit Device and the Preferences windows.
2.- Go to: View > MIDI Monitor
Uncheck all filters. Close the MIDI Monitor window.
Try your sustain pedal...
...You are welcome!