The synthesis side of all the current Elektron machines are purposely not set to record pitchbend/aftertouch/modwheel/breath - these are performance controls - there are countless other ways to record the parameter variations that may be attributed to those control sources - it’s a surprise at first, but it’s a design choice and it probably won’t ever change
If a controller can send CC’s (or NRPNs) the DN (or a.n.other Elektron) understands then those control values can be recorded - alternatively explore routing the PB MW AT etc to a MIDI track and pipe that internal MIDI track back into the DN audio side … so called MIDI Loopback (also discussed a lot) - it is used a fair bit but brings with it compromises and hassles for those not on top of their MIDI and it’s not exactly something Elektron would be expecting people to do (midi cable out straight back to MIDI in, so issues wouldn’t be a top priority for them imho and probably why the routing isn’t supported directly internally)
There’s nothing especially unique about how Elektron handle the data on a DN compared to the other units, so any discussions on most of the gear will likely have some applicability - which is why, as someone who doesn’t own a DN, i can put these ideas forward - there are very few questions which haven’t been explored in some way or another