Get a decent audio interface.
It is really not a Cubase issue , but a audio driver issue.
Even with a good multiclient driver, it is not recommended playing multiple audio sources from different programs at the same time.
Just think of samplerate, Cubase playing in 44.1Khz and a video playing in VLC at 48khz, what sample rate should be used by the audio interface ?
A safe way doing it is to use two audio interfaces, using the internal one for Windows sounds and a dedicated one for Cubase & Co. run a physical cable from the internal audio interface to the one Cubase uses and monitor it using the control room or just a dedicated track in Cubase.