Stupid of me… I should have think of it much sooner ! 
As a last attempt, instead of focusing on the ‘Ctrl-NRPN’ option in the top pane of the ‘Device window’ for my knob, I tried using this :
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On my MPD32, I resetted, as I did initially when I stumbled on the NRPN issue, the knob 11 (bank B, knob 3) to send NRPN Incr/Decr messages on channel 8 with an address of MSB : 000, LSB : 054.
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In the ‘Device setup’ window, I setted the two following lines, related to the K11 knob, as following…
Top pane :
Control name : K11 (B3)
MIDI Status : Controller (instead of Ctrl-NRPN)
MIDI channel : 8
Address : 96 (the control number used in the MIDI standard for NRPN Incr messages)
Max value : 1
Flags : 'R, , ’ (‘Receive’ only)
Bottom pane :
Control name : K11 (B3)
Device : Command
Channel/Category : Transport
Value/Action : Nudge +1 Frame
Flags : P
This means that I no longer take account of the NRPN address sent by the MPD32 knob. Result : works perfectly ! I can nudge as long as I want without the dreaded 127 controller value limit. But the only problem left at this stage was that I could only use this knob for a nudge in the ‘forward’ direction.
So, I tried to add these 2 lines in the ‘Device setup’ window…
Top pane :
Control name : K11 (B3)
MIDI Status : Controller (instead of Ctrl-NRPN)
MIDI channel : 8
Address : 97 (the control number used in the MIDI standard for NRPN Decr messages)
Max value : 1
Flags : 'R, , ’ (‘Receive’ only)
Bottom pane :
Control name : K11 (B3)
Device : Command
Channel/Category : Transport
Value/Action : Nudge -1 Frame
Flags : P
The miracle happened ! I can now use just one knob as a NRPN Incr/decr one without limitation, in this case for nudging forward and backward, which this thread was all about. I will be limited by the number of MIDI channels that I have at disposal for other similar knobs, but this will, at least, allow me to use some of them as NRPN Incr/Decr ones, using each time a different MIDI channel number. At the end, it’s only a workaround, actually, but an efficient one.
Still wondering why the NRPN Incr/Decr is not working as ‘native’ and why the ‘Soft takeover’ feature is not documented and reachable in Cubase UI, though. So, thoughts from Steiny would still be welcomed, here…
Thanks to anyone, especially Soul-Burn, for the help…
Cheers ! 