Design 3D CX does not create keyframes automatically by defualt. You must turn on animation specifically for object(s) you want to have animated.
Look in the Project Window's Object Properties entry for the object you want to animate. In the center column you'll see two new icons - a stopwatch and an equals sign.
You want to click the Stopwatch button for the attribute you want to animate. Clicking the Stopwatch a second time will turn off animation for that attribute and remove all keyframes associated with that object attribute.
There is a Preferences option to use Automatic keyframing if you prefer to turn this on globally - the old style. All this information is in the User Guide, which we highly recommend you read as there have been many substantial changes to the program.