The Dorico file is mainly cosmetic. It does not provide keyswitches, CC data, timing etc. If you want that you will need to save your Dorico project as a midi file, then import or drop it into Cubase. You will need to make sure you have the same instruments that are in your Dorico file loaded in Cubase as instrument tracks or vst instrument rack, then the keyswitches will work. Do not load any expression maps for those instruments otherwise it will not work.
Some of us compose in Dorico and then migrate into Cubase are wanting the Dorico file to include the missing midi data.
Thanks @JDTune, I didn’t expect that opening a Dorico file directly in Cubase wouldn’t import the Keyswitches.
However, I solved the problem by exporting to MIDI and importing it into Cubase, and as you rightly said, this imported not only the Keyswitches but also the CCs used for Dynamics and Expressions.
I hope that one day you can open a Dorico file in Cubase and expect to find MIDI data (CCs and Keyswitches) + Dorico Project (layout and scores) + VSTi Instrument Tracks linked.