The most common cause of that issue would be having Control Room turned on, but not connected. Go to Devices, VST Connections, Studio. If you are using Control Room, connect your Monitor to Device ports. If you are not using Control Room, disable it at the top right.
After you disable it, the sound will process through your stereo out. Is it working better now?
Here's a compression view of side-chaining: http://en.wikipedia.org/wiki/Dynamic_range_compression#Side-chaining
In the Cubase 7 manual, it is discussed starting on page 240.
Generally speaking, Side-chaining is placing an effect on one track and using another track to determine when that effect is applied (or not applied). It's certainly capable of being more complicated than that, but that's a simple version.
The Red Arrow refers to the track having outputs that are not properly connected to live outputs from Halion 5. This is occurring with the 4.0 content because it is surround content and you (most likely) have not setup multiple outputs from H5.
Mine crashed when I got to loading the FM E-Piano 3, I will forward this to our developers and see if they have any feedback on the issue.