The cursor is moving only when playing back the sample by manually clicking the “play tool” in the toolbar. I wish it would work also when I’m triggering the sample from my keyboard or from the MIDI track in Cubase (or other host). Is this normal behaviour or am I missing something? Please enlighten me! 
This is normal behavior as far as I have been able to tell. It would be nice to have the cursor move by other means such as your examples. I wouldn’t mind a visual either where I can see where the sample is currently playing back at while the track is playing or I am jamming away on the controller. Would certainly help when deciding on start and end points setting etc.
Thanks for the confirmation!
In MOTU’s Machfive, which I was using for a while, the cursor would follow the timeline each time you triggered a sample from your keyboard. It made it so much easier to do edits in the sample editor. Besides, I don’t like it when software is forcing you to use your ears 
This is one is definitely on my personal wish list for future updates.
I agree. Mach Five seems to be compared a lot to Halion 4 since its release and it does have lots to offer. Add your feature request into this thread:
Marcus from Steinberg checks that thread and makes notes on what is requested and submits them to the developers for review and possible integration in future updates. It doesn’t hurt to try, you never know. I too wouldn’t mind seeing this feature integrated.