HALion/HALion Sonic does not send the MIDI from the onscreen GUI back to Cubase to be recorded. That means that you can not record by clicking on the keyboard or pads in the GUI.
The easiest way to record the Trigger Pads would be to assign keys to the Trigger Pads (I have mine assigned to the eight highest notes on the keyboard). Then, once the notes are assigned, play the notes on your MIDI controller keyboard. Of course, have the controller routed to a MIDI track to the instrument or use an instrument track.
HTH
J.L.