Currently this isn't supported in the contextual menu of 3rd party VST's because they each have their own methods for MIDI learning. However, you can set this link to Macro Controls via the "Control Link" method.
1. Select the parameter in the 3rd Party VST you want to assign to a Macro Control.
2. This parameter will no show in the "Control Link" window in the upper left corner of the Studio One interface. If you do not see it, your screen resolution may not be big enough, however, you can still access this by opening the Macro Control window and clicking the "gear" icon which opens the "Control Link" window for the Macro Control. You will see the parameter there.
Now drag the "Hand" icon that appears in the "Control Link" window to the Knob, button, or X/Y control in the Macro Control GUI.
The parameter should now be linked.
See picture below.