Most VST instruments do not output any MIDI. Only the ones that have MIDI output capabilities do. In this case you would have to enable the MIDI output so that it is shown in the list of Cubase’s MIDI inputs, and select it as the input of any track.
If you want to understand better, the VST instrument is placed after the MIDI In.
More precisely, the routing is : MIDI In → Track → VSTi
So the VSTi cannot record data on the track just by clicking the keyboard/drums inside its window, unless it transmits data to a dedicated virtual MIDI output that you can select in the track’s MIDI input.