OK, few questions…
- What Cubase version are you using ?
- What do you have in this window (Studio > Studio Setup > MIDI Port Setup pane in C12 Pro, but I guess that it’s more or less the same with other Cubase versions like Artist, Elements…) ?
- In Edit > Preferences > MIDI pane, do you have the MIDI Thru Active setting enabled ?
- Are you sure that the MIDI routing is OK, in the inspector ? FWIW, here is my setup, using a VMK-188+ as controller with a Yamaha TX802 external synth module, set to receive data from both MIDI channels 11 and 12 (it is multitimbral) :
