Hello,
welcome to this board.
Technically and without considering the characteristics and limitations of your hardware, your setup should work. You can output MIDI (to the sequencer) and Audio data (the click) at the same time. Note that there are limitations regarding the MIDI-events that Cubasis can send. It is, for instance, not possible to send program change events (see sysex and cc support - Cubasis - Steinberg Forums). So you should make sure that your projects do not rely on those events.
Kind regards,
Frieder