Odd. The only thing I can think of is amp is giving off a voltage spike when you turn it off which in turn wigs out your interface causing Cubase to freeze. Perhaps there is a grounding issue somewhere?
Since it sounds like it is consistent, I would try disconnecting the amp from the interface before turning it off.
Edit:
Your recorded files shouldn’t disappear just because Cubase craps out. Look in your project/Audio folder.