I use shareware OBS (Open Broadcaster Software) to record my desktop in Windows 10. When I try to record a Cubase Pro 9.5 playback it captures the video but not the audio. I experimentally recorded Audacity playing a wav file and OBS captures both audio and video.
In OBS Settings under the audio tab, see if whatever ASIO audio driver you have running with Cubase is selected under “Global Audio Devices”? I’m pretty sure Audacity is using the regular Windows audio driver while Cubase is using asio4all or Steinberg ASIO or whichever ASIO driver you have running.
OBS, Cubase, and Audacity appear to be using the same audio driver (SoundBlaster Audigy FX) The ASIO driver is not listed but I have screen shots that might be useful. 
On the Mac I use a software called Loopback. It has the ability at a low level to route audio and split audio between inputs and outputs. Totally necessary for live stream. Don’t know if there is a window version.
Update; sorry only for the Mac.
Whoops! Wiring problem! I had wired my sound card output to my mixer to sound card input with mixer out to speakers. (I can’t remember why I did that) I re-wired so that sound card output goes to speakers and mixer not in the loop. OBS records Cubase sound OK now! Thanks for the support!