The CPU overload indicator is alerting overloads directly after creating or loading a project.
Since it remains in this state unless manually reset by the user,
(which I now have done for years and it drives me seriously mad and makes me question the software quality, if even such an obvious, visible bug never gets fixed)
it can not properly warn when a real overload actually happens during playback.
This is broken since at least two major releases, I recall having it reported in the Cubase 9 era and it never got fixed. There is also another forum entry from that time:
Please make the indicator only check AFTER the project creation / loading has finished.
2017 iMac 27"
MacOS 11.1 Big Sur
internal audio device / USB mixer Behringer Xenyx Q502
Cubase Pro 11