You are saying you save a file in Cubase AND you are exporting a MIDI file as well, and then referring to wanting to play *the* file, so based on the symptoms you are describing, I am assuming you are referring to playing a MIDI (.MID) file. If I am off the mark, I apologize and ask to be ignored.
MIDI does not contain sounds, just the performance (so to speak). So a program that wants to play a MIDI file
will need some sort of sound engine to play back the performance from the MIDI file. Often, this is where General MIDI
If the sounds you had selected for the MIDI tracks in Cubase does not correspond to the sounds assumed by the MIDI player, your composition can sound very strange indeed.
With Note Expression (VST3.5), individual notes contain their own set of controller data when played polyphonically.
VST Expression, Steinberg VST
Cakewalk Sonar X3
now supports VST3!