Hi AndyW,
I can confirm what Klinke says.
I have just tested this myself.
I set up
In Reaper: Klinke plugin -> out to Midi Yoke1
In Midi-Ox: in from Midi Yoke1
Here's the data I get when I move Reaper's faders
(actually there are more CC's continiously outputted but I filtered them from the display)
So there must be something wrong with your setup I think.
Hope this helps.