I am curious: has this feature been added yet? I don’t think it has but it sure would be nice. If it hasn’t, are there any plans for it to be added soon? I am working on an album of solo piano music (with MIDI and piano sample libraries) and the fact that selecting MIDI notes does not include CC data is a real deal killer for using Studio One, as much as I like it as a DAW overall. I use the sustain pedal a lot (CC 64) and I need that data to move with my notes.
Reaper does this by default, and in Logic, you just have to change a setting. If anyone is interested, this is what you do in Logic: in the Piano Roll Editor, choose Functions > Include Non-Note MIDI Events.
Perhaps in Studio One this could be achieved by adding the range tool to the music editor. Or simply by making this a selectable option as it is in Logic. But it really is a necessary feature and it is quite common in other DAWs.