In the post http://www.steinberg.net/forums/viewtopic.php?f=209&t=60241#p421113 a solution is mentionned for my problem with my midi keyboard Asturia Keylab19.
Open in Cubase Transport > Project Synchronization Setup > Machine Control Input section
Click “MMC Slave Active”
In MIDI TimeCode Source Section and select your Keylab Keyboard
MMC input : ALL MIDI Input
MMC Device ID : 127
However the option MMC Slave active is not available. Should an upgrade to 7 Artist guarantee a solution?