It would be good if Cubase actually selected the events under the cursor when this function was activated, rather than having to jog the cursor
in order to select the event(s). This would be good when editing multiple MIDI parts in the MIDI editor. Because at the moment, even with this activated, when changing parts in the MIDI editor I still have to select the event under the cursor.
Very very often I find that the event that I am interested in is under the cursor, and this would also allow me to fire off a macro to select the event.
-Activate auto select events under cursor
-Deactivate auto select events under cursor
or
-Activate auto select events under cursor on selected track(s)
-Deactivate auto select events under cursor on selected track(s)
It would also make editing and viewing information about events under the cursor faster.
Needing to zero in on events with the mouse is slower. I would use this macro 1000 times a day. 
Also, it would be great if this function did not display a warning every time it was activated/deactivated.