There are some instructional vids on that I believe. MCU, as I recall, (correct me if wrong here) has at least three functionalities, as you probably know: Mackie Control emulation, HUI emulation, and It's own sort of protocol, as well as, if you have the correct firmware loaded, probably a Logic Control option.
So, that MAY have something to do with this.
Also, make sure that Vegas actually SEEs whatever MIDI device you are utilizing for computer to Mackie interfacing. You need to set that up in the MIDI tab of the Preferences/Options menu pop up page.
So, that is number two, after making sure MCU is internally set to Mackie Control option. (I am not sure that Vegas allows for MCU, it might, but I know it likes Mackie Control protocol) t
then from there, precede to the HWController page and from the drop down "add controller" menu, pick Mackie Control.
Once that is selected, then double click that and it will take you to the page where you connect that to the MIDI in/out devices that you previously had VEGAS find. Once connected to those, hit 'apply' and click out and you should be good to go. Don't forget, then, to check " Enable HW Controller" from Options menu.