This is what I did to get mine to work. I found nothing of the sort on the net so I hope this helps even if it's waaaaaay late. Make sure you have the latest drivers for your axiom first, found here:
In Nuendo 4 (or any Steinberg based audio software I assume)
- right click on any track
- add track
- add an instrument track
- select synth -> monologue (choose any synth you have/like)
- highlight/select the new instrument track in your list
- on the left hand side of your window, you will see a list, double click on the very first object on the list (should be the name of your instrument track), it will open a submenu if it wasn't already open
- Make sure your Input Routing is "All MIDI Inputs" and not "Not connected" and make sure your synth is also selected right under that
- finally, to hear your midi controller (and this is what pissed me off when I figured out) simply click on the "record" button on the instrument track itself.
- Push a key to hear a sound
- Punch yourself if you did every step except push the record button (optional)
Hope this helps!