There is no built in PID functionality in Cayenne, nor would you want it. The PID algorithm is best when it is local.
There is however several Arduino libraries that can assist you and you can feed setpoints, analog limit sensors and limit switch output to the Cayenne dashboard.
Here is one pid library: Arduino Playground - PIDLibrary
You can review the Projects Made with Cayenne category for ideas on what has been made.
Eventually, I can see a curated archive of ready made solutions available on GIT, etc.
The Submit Your MQTT Code initiative is calling for just that How to Submit Your MQTT API Code to Cayenne!
Baby Steps.
Cheers,
Craig