How does MIDI hi-hat control work?

[jigga]

I mostly understand it, but one of the details eludes me. I'm playing around with my MIDI keyboard, trying to use the mod wheel, or any control, the same as a hi-hat foot control. I assigned my mod wheel to cc 4. When I play a hi-hat note on my keyboard and move the mod wheel, the drum sampler responds to the movement. When I stop moving the mod wheel, the hi-hat goes back to a closed sound, rather than staying in the position in which it was left. I don't understand how drum samplers respond to the cc message. I would expect the cc value to latch until it is changed, but that isn't what happens. Can someone explain how this works?