This applies to any external MIDI controller.
Problem: you record automation and it appears in Cubase on an automation track, however you want to see the actual MIDI controller events in the MIDI track, not on a separate automation track.
Solution: Select the MIDI part, solo the track it’s on, make sure the “R” for Read Enable of automation is selected, Shift-G (Transport->Loop Selection), then from the MIDI menu, select “Merge MIDI in loop”.
Are you sure you really want to do this? You lose a lot of flexibility as the controller events are now mixed in with note events. If all you want to do is have them in a MIDI file then this happens automatically when you create a MIDI file from your project via the File menu, Export -> MIDI File.
The other disadvantage is that you now have to switch off “R” (read automation) for that track because the MIDI device is receiving the “printed” controller information contained in the track itself. This means that if you use MIDI controllers with e.g. motorised faders they will not respond.
I have to admit I can conceive of no case where doing this offers any advantage … but there you go.