Hello,
I have a newbie question. I have Cubase 9.5 and bought a Yamaha SY77 vintage synth. When I want to connect the synthesizer to Cubase, do I just connect the MIDI, or do I also need to connect the audio output to my computer / soundcard / Cubase in order to get the actual SY77 sounds?
Please forgive me if this is a really stupid question, but I googled it and can’t find what I’m looking for. 
If you want to record the SY77 sounds, you’ll need to connect the audio output of the SY77 to your soundcard indeed.
Midi contains no audio, only digital instructions of what keys and buttons you press. This is also very useful, because you can play back your midi recording to the SY77 to get a ‘reconstruction’ of your playing. If necessary, you can edit the recorded midi to fix mistakes in your playing or ‘play’ parts that you can’t play on the keyboard yourself, and then play the ‘enhanced’ midi back to the SY77.
Additionally, you can also play back midi to other instruments, so you can control those from the SY77.