Hi and thanks for your question.
In version 1.5.0, the version you currently have, MIDI Designer will process learn for NRPN, Program Change, Bank Change, Channel-CC and Note-On/Note-Off (Note-On-Zero). However, you have to switch to the right message type first. While differentiating between message types automatically is not impossible, MIDI Designer does not do this.
In version 1.5.1, coming out in May 2013, sysex learn will be included as well.
Thanks!