Its most likely that your midi file contains program changes, and Cubase is tracking them. i.e. at the start of the song on each track there is a small amount of midi data that is not a note but a program change tells the bass track to play a bass or the piano track a piano sound. When you change it to another parameter as soon as you stop and restart Cubase it sends out the correct parameter again.
Solution, open the midi file in the midi editor, change the controller data display to show program data. delete the data, it should be right at the start of the track…