At the top right of the inspector for each midi track you will find a button entitled “Input Transformer”. If you click that and select ‘local’ you can then begin to set up the track to filter out the unwanted midi channels (pass through the correct midi channel).
The “input transformer” will now appear. At the top of this window you can select a preset - “channel filtering” → “pass channel xxx”. Select the channel you are interested in & all the other uninteresting channels will be ignored for that particular midi track.
After having done all this you must do one more thing. “Enable” the module - this looks like a tab (there’s 4 of them) at top of the tranformer window.
hope this helps 
PS repeat for all midi tracks …
PPS In my opinion this is actually a design flaw (way too convoluted). Cubase should have a channel filter option (1-16) next to the “Midi Input” section of the inspector in my opinion. This would be much better solution.