Problem with Program Change (Korg MS2000) from Cubase 4

First of all - yes, I did a search about this problem. Found nothing (but yeah,
Im no “search wizzard”, so might have missed the topics covering my question).

Well, now to my problem…

I have my Korg MS-2000 connected to an ESI M4U interface (in/out 1).
I have my Yamaha AN1X connected to the same MIDI-interface (in/out 2).

In Cubase I’ve set up the two above synths as “external instruments” - with the
correct in/out’s etc.

The patches from both the MS2000 and the AN1X shows up OK in the “patch list” in
Cubase. I can switch patch without problem on the AN1X from Cubase.

But…it doesn’t work so well with the MS-2000.
What happens is:

1: I switch program from Cubase

2: The MS2000 changes program to 1A no matter what program I choose (the first
“program possition”). But its NOT that program (1A) that’s being played from the
MS2000 - its some other unknown patch (very weird).

3: When I try and switch program on the MS2000 (not via Cubase) it jumps back to
1A as soon as I switch program.

Yes, I have updated the OS.
Yes, I have tried different MIDI-interfaces.
Yes, MIDI is set up OK
Yes, Program Change is enabled

But…it feels like ive missed some basic settings??

Any feedback about this issue is very much welcomed!

Thanks in advance!