It looks like you are trying to send on MIDI Channel 5. The problem is, with an external MIDI controller, Cubasis will NOT send on the channel you’ve chosen - it will only echo the channel of your MIDI controller (which is probably channel 1). The internal Cubasis keyboard WILL do what you expect. See my thread here:
http://www.steinberg.net/forums/viewtopic.php?f=183&t=44947
Try changing the channel of your hardware MIDI controller to 5, and if it works, that’s the problem. Yes, it’s deeply frustrating!