No sound on playback for external Instrument

I have Cubase 6.5 running on Windows 8 and everything has been working well.

I just picked up a UR28M Audio Interface and I’m having problem on playback with my external midi instrument.

When I play back existing songs, the instrument tracks play well, but I get no sound from my midi tracks. The midi track show activity on playback, and I can record from the midi device to Cubase, I just can’t hear it.
If I go to the device setup and change the ASIO Driver from “Yamaha Steinberg USB ASIO” to “ASIO DirectX Full Duplex Driver” I can hear all my tracks.

I do have the latest drivers (v1.1.2) for the Audio Interface.

Any ideas what might be causing this?

Update 1

If I add an Audio Track to the project, and turn the monitor button of the Audio Track to on, I can hear the midi tracks. Does this make any sense to anyone?