I purchased VST Connect pro when I had Cubase 8 and used it. I upgraded to Cubase 8.5 (and I have the latest update) and noticed neither VST connect SE nor VST pro show up in the project menu. In fact, VST connect does not show up at all.
I booted up Cubase 8 and both SE and Pro are there. When I look in each (8 and 8.5) program files, I see a dll at least for SE.