The Cubase MIDI Device is only used as a sort of configuration tool for enhancing the operation of a MIDI device.
For the input, you can select “All MIDI Inputs” or UR-44 (the “All…” includes the UR-44 MIDI In) and for the output you would choose UR-44. This is of course contingent on you having your XP-50 connected to the MIDI In/Out of the UR-44. 
This now enables you to transmit a MIDI message from your XP-50 to the UR-44 to Cubase, and you can also now send MIDI message from Cubase to the UR-44 to the XP-50. If you have a MIDI Track for this purpose, you now need to use the Local Off functionality on the XP-50. Local On is for when no router (e.g. Cubase) is used/needed to control the MIDI messages.
You can now create one or more Instrument Tracks that you would set to UR-44 for MIDI In and of course the output routing on such tracks would be the VST instrument itself.
If an Instrument Track works, but a MIDI Track does not seem to play anything on the XP-50, you very likely have to configure the MIDI Channels on that track AND XP-50. I do no know how much you understand about MIDI, but MIDI Channels effectively divides the MIDI Port/cable into 16 virtual mini cables.
So whichever MIDI Channel you select in Cubase, the XP-50 has to be listening on, in order for it to properly react to MIDI messages.
Even though the MIDI Ports come in pairs (In/Out) you need to consider them as separate pipes. This is because one cable is not bi-directional, like say a USB cable.
So again, what you send from your XP-50, is transmitted to Cubase, and it in turn re-routes the messages depending on what is selected and how tracks and other items are configured inside of Cubase.