I am on Mac and this problem happens for me as well. Specifically what Cubase does and other sequencers don’t do is it records the MIDI at the timing you played rather than the timing that matches what you heard while playing. So if you are playing a VI that has latency, all your MIDI will be early. This blows because you can never tell whether you played a good performance or not. You will have heard a good performance, but when you play it back, its all early. You can try really hard to play the right timing even though you are hearing all the wrong thing, but you will feel very bizzare.
But there is an even worse MIDI problem in Cubase. It has huge MIDI jitter when you are live monitoring. For example, if you hook up an external seqencer that just plays back straight 16th notes and have it play into a VI track that is record enabled, you will hear terrible terrible timing all over the place if you are at any buffer above 64 samples. Obviously this happens with normal playing too, but using the external sequencer will make it crystal clear to you how bad it is. Sucks…