Hello Luc,
What you're trying to do sounds fine in principle, assuming that either:
1. Cakwalk and your MIDI console are using completely separate MID IN ports for connecting to Hauptwerk (so that Hauptwerk would be able to tell them apart), or that:
2. If using the same MIDI IN port then their MIDI channel numbers are distinct in all possible cases (e.g. console Great=1, console Swell=2, Cakewalk Great=3, Cakewalk Swell=4).
If, for example both your MIDI console and Cakewalk were using the same MIDI IN port, and also their MIDI channels overlapped (e.g. console Great=1, console Swell=2, Cakewalk Great=2, Cakewalk Swell=1) then you could get both Great and Swell being triggered simultaneously from your console and/or Cakewalk.