I took a small MIDI clip, dragged it outside Cubase to the desktop (or any folder), and re imported it back to Cubase.
As you can see from the attached picture, the new file is missing the last chord.
I understand the notes are quantized so the last messages lay exactly on the edge, but still, the expected behavior would be to get the same thing back.
Confirmed and reported to Steinberg. If you use File > Export > MIDI File, the last MIDI note/chord is present. So it seems to be on the export side while drag and drop.