That is…in the Performer settings in the Cubase plugin? “Not connected” means just that…what do the other items in that view say? Did you try a second time, mean to say does it happen every time? You understood that the “Performer” settings in the Cubase VST Connect SE plugin are remote controlling the items on the Performers’ computer, did you?
If all else fails feel free to write a PM. So far we sorted out each and every problem 