MyDMX isn't fussy, but once you associate that rotary controller, take note of the channel and what it's assigned for, because once MyDMX knows what it saw before, it expects to see that again.
Think rather simple. It's sort of like "Oh, that's what you want me to look for? OK, done. Got it" But it's gotta be exactly that same thing next time. So, if you change your MIDI channel or the controller assignment, it's not going to work next time. Most likely, only the channel being different would probably be your only problem, and you'd probably say "Oops, change channels, I forgot about that" and be back and running again.