Sad to hear Cubase is not meeting your expectations art1. I can understand that Cubase might have mysterious ways of workflow sometimes, but rest assured that it can do probably everything you want when you apply a little effort. (needed or uneeded, that’s a big discussion)
For example:
The chord track does not create key signatures. It creates chords, during whose duration the Key Editor tries to spell notes correctly enharmonically (if the option is selected.)
Now, a score on the other hand cannot rely on chords alone. A series of C F C F chords does not allow us to tell if a song is in C major or F major without other context. That’s why all scores default to an open key signature on a single treble staff with no display transposition, and it falls upon us, the users, to set up the staff correctly to our needs, either by writing down the key signature, or changing the staff settings in the way that befits the instrument. Maybe that Halion track has a Tenor Sax VX sound loaded? Then it should have a display transposition of one octave up (as tenor), and a whole tone more (as Bb). There are presets in Staff settings so that you don’t have to do this manually each time, but you still have to do it. Or not. If you need to have a proper score to hand out, you have to do it. You can also set up a template once, and then import tracks from there when you need them. A big time saver, not having to do the same housekeeping busywork time and time again.
Being able to enter Key Signatures in the Signature Track though is something that has been requested before by users but is yet to be implemented.