So, I upgraded to Cubase Pro 12 to see if I could help further and found that the settings I supplied don’t work if you have configured the KeyLab as a MIDI Remote Controller.
You can see for yourself if you Disable Controller Script for your KeyLab in Studio → Midi Remote Manager. As soon as you do this the transport buttons (except Loop/Cycle, which is a different story) will start working.
[EDIT] Ah, yes - now I see this post (Midi remote control doesn't capturing MMC?) explains what I was observing: MMC is not supported (yet), and the transport buttons (with the exception of Loop/Cycle) are mapped by default as being MMC controls. There’s an ugly hack that works which is to use Arturia’s MIDI Control Center to map the transport buttons to send (for example) controller messages (I used #110-114) and now you can add them to your Midi Controller map in Cubase.
Unfortunately, I cannot make the LEDs work the way I would like. So far the best I can do is map the buttons (in Arturia’s MIDI Control Center) as Gate triggers and then specify Toggle = On in the Cubase map (although I actually set Toggle = Off for REW and FFWD). This allows them to function correctly, but the LEDs don’t show the actual state of the transport in Cubase - they light only for the time that you push them. I’m a bit disappointed with that, but at least I can control the transport.
On the other hand, the Loop/Cycle (mapped by default to controller #55) does tend to work correctly since there is no interaction between it and other controls (unlike Start/Stop/Record, for example, which can each affect the others’ state). For this to work, you will need to map it as a Toggle trigger in Arturia’s MIDI Control Center and as Toggle = Off in Cubase (since the Keylab itself will be controlling whether the toggle is on or off, and so Cubase doesn’t need to interfere).
Note that you will run into issues, though, if you change the state of it by any means other than via the KeyLab, since there is no feedback of state to the KeyLab that would cause the light’s state to change if the Cycle control’s state was changed, for example, via the Cubase UI.