hello I have the same issue from day one using cubase and thought until now it was just how things worked. I am using a audient soundcard if that is of any interest, Again I have to activate the monitor button to hear my keyboard being played. I have tried control room but does not make a difference unless I am doing something wrong?
This is not at the issue being discussed where you posted, so i moved it.
Read this post, it m,ight help you get going in the right direction: Monitor an instrument regardless of track selection - #2 by steve