This behaviour is currently by design and has always been that way (e.g Halion 3) . A selection made in the Slot Rack of HALion will indicate only which program to display in the editors to be able to edit it.
In Cubase however, a selection in the “Tracklist” will also affect the incoming MIDI data by applying the settings made in the Cubase Inspector ( e.g. MIDI Channel).
Anyway! We noticed that this behaviour needs an improvemant too and its on our feature request list already. Unfortunately changes have to be made in HALion and Cubase to make it work, so don’t expect any improvements too soon.
I am wondering if this is still on the agenda for future incorporation? It would be real nice to able to play my external keyboard on a selected patch in the slot rack without having to rely on Cubase matching up midi channel wise to get proper playback.