You can’t add inserts to individual channels in Halion Sonic SE, only to the Master channel. You’ll have to use the 16 outputs to process the channels in Cubase.
In the full version, you can add 4 insert effects to each instrument’s output and 4 insert effects to each layer of the instrument (so up to 20 inserts per channel). Additionally it comes with a much newer sound library and much deeper editability.