You could try to experiment with the MIDI catch range (Preferences → Record → MIDI → MIDI record catch range in ms).
MIDI Record Catch Range in ms
When you record starting at the left locator, this setting helps you make sure that the very start of the recording is included. A very annoying scenario is when you have recorded a perfect MIDI take, only to find out that the very first note was not included – because you started playing a little bit too early! If you raise the Record Catch Range, Cubase will catch the events played just before the recording start point, eliminating this problem.