Hello,
thanks for the clarification.
What you are experiencing is intended. This topic was already raised regarding triggering of external sound modules (see Midi out to sound module - Cubasis - Steinberg Forums). Cubasis does not automatically forward what it receives at its MIDI-IN to its MIDI-OUT at the moment. You can find more details in the manual in the section about the inspector.
As you explained, the workaround would be to record your MIDI events first.
Kind regards,
Frieder