MIDI is simply data that is telling the keyboard to play. If you want to hear this audio in Cubase you would need to send the audio out of casio into the soundcard and monitor that input or record it.
Hi and welcome to the forum!
To add to the things @Grim said: If you want to listen to an internal instrument in Cubase you can load Halion 7 SE and assign “All MIDI Inputs” in your track inspector under Inputs. Now, you can use your Casio to trigger a virtual Halion Instrument which you can record and play back in Cubase. In other words, the sound is generated by Halion, the MIDI data is sent by Casio.
Just to add to this, the ports included in the logical collection of “All MIDI Inputs” are selected in Studio Setup → MIDI Port Setup. You can enable/disable which inputs are included in the concept of “All.” It’s not necessarily “All MIDI Inputs” physically available on your system.