If the sound/audio is coming out of your HW synth and not going into the inputs of the soundcard and through the Cubase software the audio effects like reverbs and delays will not be available and will not work.
The midi that you are recording is just computer data that will play back the synth part of your HW synth. You can add midi effects on a midi track but not audio inserts.
If you use your HW synth to play one of VST synths that are part of the computer system this is a different matter and adding effects to the sound is easy. Open up an instrument track, select the vst and the insert slots will show up in both the inspector and the mixer.