Are you trying to write CC Data by moving the MOD wheel on the HALion Sonic GUI with your mouse?
If so, that won’t work because HS does not send the MIDI data back to Cubase. You need to add a MIDI track, write data to CC1 (modulation) on that MIDI track and then direct it to HS. If you are using a MIDI controller/keyboard, make sure it is the input of the MIDI track and that the output of that MIDI track goes to HS.
HTH
J.L.