More testing: Cubase Elements 9.5.50 / OS X El Capitan (10.11.6) - SysEx files import just fine, except that the MIDI SysEx Editor shows an extra F7 (SysEx message terminator byte) in the message.
For a moment I thought that this could be a macOS Big Sur file access limitation. The macOS privacy settings show that Cubase has access to Documents, Desktop, and Network Volumes. So I moved a SysEx file to the Desktop, and tried again, but that didn’t make any difference, not even after restarting Cubase.