I do not know if my answer will come too late, but in any case …
In the Cubase inspector (the detail of the selected track, placed on the left side) below the volume and the pan, there are indications concerning midi inputs and outputs.
Before the symbol that allows you to open the interface of the vst intrument, there is the number of the midi channel that the cubase will use to communicate with vst.
Initially it is valued with number 1.
You have to change it with the value ‘any’ (choosing from the list).
Then enter the interface of your vst and set as the input midi channel the one you want to play that instrument (depends on the vst you are using, but generally they all set up a midi input channel).
Go back to the inspector and press the ‘speaker’ button (the yellow one) that will let you hear your vst even without the corresponding track being selected.
This, of course, as long as your keyboard has the split function and the ability to assign a different midi channel to each section.
Although with more than one keyboard, but I use the same method to play live.
I hope, though late, that this may be useful to you.
Paolo