Na… I am referring to the midi from a particular device out.
So for example, sending midi from Cubase (midi out) to a device in then thru of that device to another device etc. will work as each device will see the data according to the transmitted channel number.
The problem occurs when you want Cubase midi in to see the output of two or more devices, for example two keyboards that you want to play. If you connect the midi out of the first keyboard to the midi in of the second and then use the true of the second to connect to an interfaces in, then you will only get the first keyboards midi out. The second keyboards midi is transmitted from the second keyboards midi out, not the thru!
This then requires either a midi merge box or the device to support midi merging or two physical midi ins on the interface.