Seems to only work for supported devices Nuage, MC-5, Artist Series and WK-Audio.
Manual says:
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Click the L button on the toolbar to activate Learn mode for the editor.
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In the editor, select the control that you want to assign to a plug-in parameter.
A colored frame around a control shows that this control has the Learn focus.
- Click on a parameter on the plug-in panel.
This assigns that parameter to the control
P.S. You can also double-click on a control in the editor to open the list of available plug-in parameters, and click a parameter to assign it to the control.