Just wanted to share my solution for this. I was also saving Presets in the various tabs of the Audio Connections window (Cubase 12 on MacOS 10.15), only to find the presets missing after quitting and re-opening Cubase 12.
I discovered that removing old Cubase version folders in the
/Users//Library/Preferences/
folder solved the issue. Once I did that, my Audio Connections presets were loaded again in the dropdown menus inside each Audio Connections tab.