I'm hearing thumps while I am playing a VST through my MIDI controller


I have Cubase 9.5 Pro and love it. But my current problem is that when I am playing my keyboard controlling a VST, I frequently hear a thump sound that does not correspond to a note I’ve played. I tried with Halionic SE and XPandIt (a VST that was bundled with my keyboard)

I am on Apple Macintosh High Sierra.

Any clue on how to remove the thump sound ?