Just to make sure…of course the Control Room Monitor has to be set to your speakers output, that’s why it’s called monitor 
When the Control Room is enabled, you should set the Output in VST Connections to “Not connected” because the master channel it is routed to the Control Room Monitor, there (and only there) you must set the speaker outputs. Otherwise you can’t hear the Performer as the signal doesn’t get through to your speakers. Please read the Cubase manual Control Room section. Also there is a Control room overview in the devices menu which may help to understand CR routing.
Finally, when you assign outputs to the Control Room Monitor which, as pointed out, you must do anyways, and then you hear the Performer, but don’t see the VST Connect Monitor plugin after the CR Monitor: that’s a bug in Cubase afaik, sorry for that. But it’s there nevertheless (sometimes I could see it but forgot under which circumstances).