I was having this problem too, the "Jump sustain" function already in C2 wasn't working for me, and after some investigation on my part, it turned out it was for a very simple reason! For my "Jump" control, on the Event sheet, I was using the condition "On W pressed" instead of "On W down"; so it didn't know the key was held down!
I thought that info could be useful for anyone searching through the forum for the same thing I did and finds this thread, with this no need to follow any tutorial. =)