To see the correlated events using Workstation, go to the trace window as displayed below.
Only the Transaction Trace Viewer or the Historical Query Viewer can display the correlation ID. If searching in the Investigator on the Traces tab after selecting the Agent, you will not see the correlation ID.
Instead, click on Trace -> Correlated Events
Which results in the display of the correlated events:
If you still do not see any correlation and if you have the two processes calling each other on separate servers, one possibility could be that the instrumentation on the remote webservice did not receive and/or handle the correlation ID properly. You would need to check if the same correlation ID was being passed over and processed when invoking the remote webservice.
Also, the correlation should work if the custom pbd also specifies proper correlation ID handling. After doing this, check if there is a proper correlation tracer being specified at the webservice endpoints. It may require assistance from your technical team and/or our Services team for the customization.