I don’t have much advice on other controllers. I have an Axiom Pro, which I would say you have it right about it being somewhat difficult to set up. I think it works well as far as the sliders and knobs, etc., but it is cumbersome to get it set up for true MIDI control (as opposed to HyperControl). I also have a new Korg nanoKey Studio which I haven’t used much yet (I bought it for use while traveling) but it seems promising, the editing of the device is all done on the computer in an editor application and it has an XY pad. I have thought the m-Audio Code, and Korg Tactile looked promising also but never splurged because the Axiom Pro is still getting the job done.
I REALLY wish, Steinberg would release an App for tablets, like iC Pro that allows MIDI control, especially VST Quick and Track Quick controls. It would be really nice if they incorporated some MIDI control into iC Pro. I have tried TouchDAW and TouchOSC (which has a MIDI mode) and they work but the latency seems a little high and I don’t like having these 3rd party “bridges”. iC Pro uses a “bridge” by Steinberg and Apple Bonjour so it feels a little safer.
On to your question about the panels. First, in the inspector tab, you need to turn on device panels. Right click in the inspector area of a VST Instrument channel or MIDI track and check “Device Panels”. Go to the Help menu in Cubase and under Documentation, there is a .pdf called MIDI Devices. That covers creating the device panels. It is intended to replicate the controls of a physical MIDI device (keyboard, etc.) in Cubase but, of course, it can also be used for VST instruments. Hopefully, that will get you started.