I hear MIDI output on keyboard, but

how can I hear it through headphones along with the guitar I have recorded? Are the MIDI signals even being recorded?

Midi is just messages not audio. Are you talking about sound out of your keyboard or are you playing vst instruments in Cubase from the midi if your keyboard? Are you listening through headphones to the audio interface and if so us the keyboard also plugged into this if you are playing sounds from the keyboard. You need to explain your setup in a lot more detail to get an accurate answer.

I am already familiar with the nature of MIDI, but thanks for the explanation.

The sounds are coming out of the keyboard as Output; I can hear these just fine. However, the keyboard does not sound like the VST I added as an instrument track, and I do not hear the notes along with the other tracks through my headphones.

Yes, my headphones are plugged in. The keyboard is also plugged in.

Was this explanation more accurate? Do you need anymore information?

What do you mean it’s not the same? The wrong notes or the sound. Why would the sound be the same on a vst instrument as your keyboard? I’m still not quite getting it.