OK,
I cannot see a way to add a MIDI assignment to the list of MIDI Assignments (click the 5-pin DIN MIDI icon in the bottom-right corner the the ST4 GUI to see them), so you will need to use ST4's MIDI Learn.
To assign MIDI CC messages to a control:
-- create a MIDI clip in the DAW with CC#11 messages only in it
-- move the control on the GUI
-- right-click it, select "MIDI Learn"
-- start play in the DAW.
The CC#11 messages should be sent to ST4 and there assigned to the target control.
Repeat for any other CC#. When finished, put your MIDI file on the track.
Here is an example (in Reaper):