MIDI setup help please!

Thank you everyone for responding with input.

I’m sorry I am so delayed - I did not realize I got responses.
I have the KORG’s output plugged into the mac mini AUDIO INPUT.
I have the mac mini AUDIO OUTPUT connected to a speaker.
Cubase can record whatever I play on the KORG, but when I try to listen to the recording I have no audio from Cubase.
My VST AUDIO SYSTEM is set to ‘Built-In Audio’. It gives me no other options.
Where do I go from here?
Thank you.