I have found that if i have a MIDI track that is muted and I click on the transport bar above the tracks to move to a position within the recorded audio and Midi data then a midi event can be sent from the muted midi track to the Midi instrument even if the channel is muted.
I have checked that the mute is working on that channel and it is fine, mute on no midi playback mute off midi plays back.
It is probably sending a chase event, like a volume reset command, sustain pedal off, or program change. IIRC these are always sent regardless of the mute setting. I think also automation may also be sent. They don’t always originate from your midi part, but some control commands are always sent by the system particularly if you move the play cursor.
Actually you should check the preferences as there may be something now.
Anyway, I find midiox (and midiyoke) is a very useful tool for seeing precisely what Cubase is actually sending to my keyboards. And in some cases I have had to use it to filter out a control command which effects the sound on some of my synths.
There is no way to control what midi commands Cubase sends as chase commands