No. If you are not using MIDI tracks, but you are using VST Instrument (Rack), you can set virtual outputs from the instruments. These outputs are displayed as audio tracks in the Cubase.
Add 2 or more instruments in the NI Kontakt. Set different Ouput for any instrument of the Kontakt. The Output, you can find above the Midi Ch, in the Kontakt (Screen_1). CLick on the St. 1, and choose “Create separate Master Output Channel” option. In the Mixer of Kontakt, there will be added one more channel (bus) with the instrument name (“Viollin E” in my case). Click to the 1|2 icon, which is virtual output of this Bus, and set Kt. aux 1 and Kt aux 2 (Screen_2). You will find, Viollin E has 3|4 output now, in the Kontakt Mixer (Screen_3).
In the Cubase, VST Instruments (Rack) window, click to the icon right next to “e” icon (this is like square, and arrow to the right side, from it). This is on Screen_4. Click on this icon, and choose Kt. aux 1 [Stereo]. As you can see, Cubase add one more track in to your VST Instruments folder and Kontakt 5 sub-folder. This track is named Kt. aux 1. You can change the name of the track, same as color, of course.
Now, the signal is routed from the MIDI track to the Kontakt. In the Kontakt, you can set, this instrument output is routed to this Kt. aux 1. You can continue same way with all other tracks. So, you will have 16 audio tracks for 16 MIDI tracks.
Now, if you press Solo of the Kt. aux 1 track in the Cubase, you can here just these tracks, which are routed from the Kontakt to this virtual output. I.e. only one track (Viollin Ensemble, in my case).
This settings has one more advantage. You can use any VST effect on any instrument. You can use different VST effects for Viollins, different for cellos, different for drums, etc. Same as you use Instrument tracks directly.
Is it clear, now?