You need to enable the sysex THRU…all the Kronos internal functions of those knobs are handled via SYSex…by using Cubase, you’re inserting something in the chain that removes it by default. so, notes and controllers pass through, but the syste exclusive manipulations of the surface do not.
Note: there’s a separate area in the Kronos where you can define what those send externally…but, that doesn’t change how the Kronos’s internal sounds/setups respond–they will always be sysex, so if you want to sequence it with Cubase, you need to remove the default input filter that filters out the sysex messages.