I can add gear (shoes) to a cardio activity using the Garmin Connect app or Garmin Connect Web.

When you first set up the shoes don't choose a default activity. You just have to remember to add the shoes to the activity later using the "Add or Remove Gear" option.

If you want cardio to be added to the "automatically add to" list, suggest submitting a request to Garmin - Share Ideas | Garmin