Does the format of the midi files that work with Cubase depend on any external synth connected to the computer?
You can use midi files without any external synthesizers connected.
However, if the files contain program changes, those may or may not work.
That shouldn’t matter.
FYI, Cubase itself does not use MIDI files. It can of course Import & Export MIDI files. But all the MIDI data used in a Cubase Project is saved internally in the .CPR file.
Does Cubase use soundfonts?
Cubase itself doesn’t use them directly (I’m pretty sure?) The way you would access them is to load up a VSTi that supports Soundfonts. Don’t know if Halion SE does that or not - check the docs, but you should be able to find a free or cheap player out there.
I have found Synthfont. Producerkit indicates there is some interest in Cubase as a midi vehicle.
Does Cubase plug into an Integra 7 or does Nuendo?
They can communicate with each other via MIDI.