I answer myself…
I found a solution but I think it’s a Cubase or Halion Sonic SE 3 Bug.
Here is the bug :
Required option: Have the “Halion Sonic Mult-Timbral” in the preferences in the Midi file import options.
1 - Import midifile with program change.
2 - You can play your sequence with Halion Sonic SE3 Sounds. (GM mode is activated automatically, and all sounds are mapped automatically too)
3 - Export your midifile with standard options
4 - All your program change have been delete in midifile export, you can check by reimport the midifile in a new projet and use List editor. CC0,CC32, all programs are no longer present.
To work around this problem :
You need to disconnect all your tracks from Halion Sonic SE3:
1- Select all your tracks
2- Press Alt+Shift (on PC) and click on the output of a track
3 - Select “not connected” instead of HALion Sonic SE, check that all tracks outputs are not connected
4 - Now all your tracks have program number in the inspector instead of HALion GM list name program
5 - You can export your midifile as normal, all your program change will be included in your file.
If anybody can confirm this … At least it works for me as well.
Best regards,
Fabien