Hello, this is a DAWspecific/VSTspecific issue you need to investigate but here are some basic guidelines to consider:
Generally speaking, you either map midi controls (Lemur) to functions-parameters of the DAW OR in the actual instruments-plug ins. Now.when mapped to DAW (levels, sends, etc) specifically in Reaper you ll have to create "actions" and in those actions specify midi in/out messages which in turn will provide the bi-directional feedback you are after. Its abit complicated compared to, for example, the midi mapping of Ableton Live where control and feedback are mapped with a "midi learn" function straight from the interface.
In the case of plug ins, either you map TO the plug in itself ( using the plug ins options) or, since every plug in exposes its parameters to the DAW, some DAWs give you a way to map " plug in parameters" whathever those may be per plug in - although I dont know if thats possible in Reaper.
One thing also to consider is that if you choose the first way ( mapping directly to the plug in) usually plug ins do not support bi-directional feedback. So the best way in all cases, is to find ways to midi map using your DAWs options - not your plug ins.
Search in Reaper's menu the Actions and create new action for, sayyy the levels of the tracks to get a feel of how it all works - and take it from there.
keep in mind you need midi input AND output active in Reaper. The output of Reaper should be connected to input of Lemur to have bi-directional feedback.
http://forum.cockos.com/showthread.php?t=80936