Just to be clear, this is open the Audio Pool (CMD+P), right click on a WAV file and ‘Reveal In Finder’? Maybe Nuendo is different there, but it works here in Cubase Pro 12.0.70 on an M2 Pro Mini. The proper directory is opened in the Finder, and my file is highlighted ready to go.
My audio drive is Mac OS extended and still “reveal in finder” doesn’t work, it just shows the latest finder window I’ve opened, but does not reveal the right file…