Open up Sylenth1 and in the MISC1 or MISC 2 menu found in the bottom right corner click the source and set it to velocity.
Then click the green bar under the source and set it to "Volume AB" The black knob on the left of the green menu should be turned all the way to the right.
Get the volume on all of your oscillators and set them all to 0. They should all be turned to the left.
Congratulations! Your Sylenth1 should now be velocity sensitive!