There is no need to run Windows on a Mac, though you can if you want. But what would be the point? You haven’t opimized the system you have yet, so imo it would make sense to do that first.
An audio interface will perform much better than the built-in sound on your Mac, even one at the low end of the price range. The software the device uses to communicate with Cubase- it’s drivers– is where the perfromance gain comes in. This would mean lower latency at a given buffer setting for sure, and other gains.
There are many pro recording studios and post production houses who use both Nuendo and Cubase on Mac. Including Curteye’s. (Aloha 
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