Hmm, I've just tried recording a small section of piano with sustain on while playing the keys with brief taps, followed by another section without sustain. The recording is correct if played from the tracks layout, although if I invoke the keyboard the sustain key is turned off as you found. If I adjust the sustain switch during playback I can make a section recorded with sustain play without it and vice versa, but once I go back to the tracks menu, or just leave it playing on repeat, the two sections play as they were recorded, one with with sustain and one without.
I also recorded another section turning sustain on and off as I played. Again playback is as recorded with certain notes sustained while others are brief even though all my key presses were of a similar duration.
In short I think it works as it is supposed to, but if you go back to re-record or add to a passage then you will need to set sustain manually if you need it.
tt2