OK, I figured this one out for the time being, through a series of experiments. Thanks Martin for trying to help. Not a Cubase issue at all, rather, a Kurzweil one.
The MIDI settings on the PC3K8 are complex. It seems that in Setup mode, if you set a layer to have an “InputChannel”, as well as a “Channel”, it will echo the incoming MIDI on the InputChannel back out again (presumably on the “Channel”?) for that part when it receives incoming MIDI. Wasn’t quite what I expected, but it appears to be a facility that allows you to control the Kurzweil remotely via MIDI in such a way that it also broadcasts the MIDI back to its out port. So I guess it makes sense now.