just tried on the Cubas Demo Project.
When I open the channel window, in my case the vox lead channel, I want select another channel directly from the output menu that shows 4 output sends. Now, if I select the group (the first in the list) Cubase shows me the desired group channel, but if I select the others (fx channels in this case) nothing happens, Cubase does not jump to the selected channels.
From the screenshot you can view the channels that cubase ignore.
Last version installed (12.0.10)
This is known and already reported issue. Thank you.