Sustain Pedal not working when recording with software instrument piano

I have an M-Audio sp-2 sustain pedal going into an M-Audio Keystation 88es, which is connected by USB to my mac. When I'm recording and holding down the sustain pedal, the sustain is working properly. However, when I playback what I have recorded, the sustain is gone and it is just the regular piano key notes with no sustain. Does anyone know what the problem here is?