I suspect you’re right 
.
If you go to VST connections (press F4), do you have the required in and output busses there? If not, create them.
After that it’s a matter of creating an audio track in Cubase, select the input you want to record, arm the track for recording and press record.
That should be everything on the Cubase side, if you still get nothing, then there is probably something wrong with how you connected your sound source to the UR25 or the cabling or the UR25 or I don’t know what :p.
If the above doesn’t work, can you post screenshots of your VST connections input tab and of the inspector of the audio track you’re recording to?