The import currently gets the notes only and the appearance of everything on the score page and basically nothing else. You don’t get playback of any articulations or most dynamics unless you re-add everything in the articulations lane in the key editor and rewrite your CC1/CC11 lanes.
I suspect the cause of the current situation is that most of the MIDI data is likely not currently saved with the Dorico project file format. They’ve never explained this specifically, but it stands to reason because the majority of the detailed MIDI could easily be dynamically constructed on the fly by Dorico itself by taking the score and notes and running it all through the expression maps which are saved with the file. An example would be a crescendo driven entirely by dynamic markings in a Dorico score and hairpins - p<f. This would result in some kind of CC automation ramp like CC1 or CC11 or maybe key velocity depending on the instrument, but this is “dynamic” automation that the user did not manually add themselves by adding dots or lines on the CC1 or CC11 lanes in Dorico. As far as Dorico is concerned, this dynamic MIDI probably doesn’t need to be saved with the file and only needs to be temporarily stored in RAM, because Dorico itself is easily able to take the score upon opening the file, run it through the expression maps, and generate the dynamic MIDI itself instantly (and it will be the same as the old dynamic MIDI).
This gives a problem when Cubase opens the score, because it doesn’t understand Dorico expression maps (it uses its own maps format that is very different) and so it can’t generate this missing data at the moment. So aside from the appearance of the score on the page which is largely preserved, in terms of playback you end up getting only the notes and maybe the velocities, and losing all dynamic MIDI like keyswitches and dynamic CC lane contents like CC1/CC11 because those were not likely saved in the Dorico project file to begin with since Dorico can so easily regenerate that (but Cubase currently cannot).
The other way of going from Dorico to Cubase is to use MIDI export and import. Using MIDI you will preserve all keyswitches and CC data and other performance details, but the visual appearance of the score on the page in the Score Editor will not be preserved. Depending on what your goal is, this may not be a problem.
Unfortunately at the moment, it seems like you have to choose between either preserving the appearance and losing most of the playback information (with the new Dorico project import), or preserving the playback information and losing most of the appearance (with MIDI).
You can see more information in this thread: Expressions maps still doesn’t appears in 14.0.20