Happily trucking along with Cubase 6.5.5! 
To answer your original question more completely. There are several options…
You could play the piano and record the AUDIO signal via the interface…
You could play the piano and record the MIDI notes via the USB MIDI cable…
Once the MIDI notes are recorded, you then have options as well…
You could send those MIDI notes to a virtual instrument for playback…
You could send those MIDI notes BACK to the Yamaha piano for playback…
HTH
J.L.