Select the tracks containing parts you want to apply inserts to, then MIDI=>Freeze MIDI modifiers. That will transform the actual MIDI data within the parts on the tracks.
You might also investigate "Merge MIDI in Loop" function as it has a few additional options to offer.
cpu: AMD Phenom II x4 955, ram: 8GB DDR III 1333, Audio/MIDI Interface: Edirol FA66.
Windows 7 x64. Cubase 6.5.1 x64 and 32 bit.
VSTi's: VSL, HSO, Kontakt 4, HALion 4