It sounds like you're doing the right things, but try following my steps to the letter:
1. In the Environment select New > Chord Memorizer
2. Cable the output FROM the CM to the SI channel strip e.g. Inst 1.
3. Double click on the CM. In the top keyboard select C3. On the Bottom keyboard click on the notes desired e.g. C3, G3, C4 etc.
4. In the Arrange create a new track.
5. Reassign it to the CM, either by dragging the CM from the Environment onto the track header in the Arrange or by ctrl-clicking on the track header and choosing the CM...
6. Select the Inst Track and press C3 on your MIDI Keyboard or Capslock keyboard. Check in the Transport MIDI IN display that you are pressing C3. You should hear only the C3 note.
select the CM track and press C3 on your keyboard. You should now hear the whole chord.