Need more details as to your symptoms, such as where your sounds get up to, or don’t!
Note that the default setup in your soundcard control software may need to be modified. For example, the default setup for the RME Fireface Mixer is to not only make all logical outputs map to their corresponding physical outputs (1–>1, 2–>2, etc), but also ALL are mapped to the headphone outputs. This really disrupts using the Cubase Control Room, so the mapping needs to be disabled for all but the logical headphone outputs.
Note that while you create a Studio Cue and select it for track outputs, you need to ensure that those cue sends are active (toggle the individual track’s hidden power icon to the left of their cue send slider, or globally with Ctrl-click CS in the top of the mixwindow).
I don’t actually use the cue sends direct from tracks, but use ordinary track sends to dedicated foldback groups (Vocals, Instument1, Instrument 2, ME), that feed a master group that has the cue send. This makes the cue mix much easier to setup, as I have it on a mixwindow on a touchscreen in the studio.
A problem is that I often find that that group cue send is off, even though I haven’t explicitly turned it off. However, I haven’t exhaustively tested whether the cue send state is saved with the mixwindow preset.