A general primer that works for any external instrument…
Something like an MX can make sounds on its own. It can also serve as a ‘controller’ to trigger other sounds…over MIDI cables, or through the USB>MIDI interface, etc.
More advanced keyboards might also come with a special ‘plugin’ that ties together with your DAW to get even more ‘advanced’ features and abilities. More on that later. I’ll have to look it up to see if the MX has such a thing…
For a universal connection…you’ll connect your USB to the computer, and also connect a set of analogue audio cables out from the synth and to ‘inputs’ on the sound card.
I don’t have an MX, but I can show you with an old Fantom XR.
Some keyboards these days ALSO serve as an audio interface in their own right! If this the case for your MX, and you’ve installed any drivers and such that might have come with the keyboard, then you won’t need the analogue audio cables. Your MX will show up as an audio device over your USB connection. You’d see it somewhere in your Studio/Setup/Audio System page as an ASIO Driver.
If you use a keyboard that also offers this type of ‘usb audio interface’, then you’ll be bypassing any other audio devices on your system. You’ll need to connect your MX outputs directly to your amp/speakers.
In my case, I have a few different audio cards connected all at once, but I can only use ONE AT A TIME with Cubase. So I need to ‘pick one’.
My Fantom XR cannot send audio over USB or anything…so I’ll be using old fashioned analogue cables plugged into one of my sound cards. My sound card is subsequently connected to an amp and speakers.
In Cubase, you’ll make a new ‘audio track’.
Connect the inputs for that ‘audio’ track to come from your synth. In my case I’ve plugged it into the inputs 1 & 2 of my sound card and configured Cubase to connect them to an “Input” that I’ve named “Stereo In”. (Tap F4 to get at your audio interface setup stuff).
So, I see that this audio track is setup to hear audio from where my XR is plugged in.
To ‘hear’ what the synth is playing, you’ll need to enable ‘monitor’ or ‘record’ for that new ‘audio track’ that you’ve made for the MX. This is called ‘arming’ the track. In Cubase, tracks that are not ‘armed’ ignore or mute ‘input’ from outside sources. They’ll only play back sequenced (recorded/imported/drawn) events while the transport is playing/recording.
If tracks are ‘armed’, then they can record and/or pass through anything that is connected to their ‘inputs’ at any time. Even if the transport is not doing anything (play/record/rewind/etc.).
So, I’ll click ‘monitor’, and now I can hear what I play on my XR through Cubase. I can control the volume of this ‘audio track’ on the Cubase Mixer. I can use the strip features on the mixing desk to process this, or even add insert plugin effects if I like.
Next comes using the keyboard to ‘trigger’ other sounds in your DAW. That can be done via MIDI.
Just as an example, create a new ‘instrument’ track.
Add an instance of HALion Sonic, Name the track as you like.
Pick a sound you’d like to play in Sonic and load it into the first slot.
Set the ‘input’ of the new instrument track either to ‘All MIDI Inputs’, or specifically to the USB output of your MX keyboard (For me It’ll be my XR USB MIDI driver instead).
Again, you’ll need to have the track ‘armed’ for ‘monitor’ or ‘record’ to be able to hear it.

A keyboard that can make its own sounds typically has a couple of different ‘modes’. In ‘local’ mode, it will always trigger its own internal sounds, in addition to sending ‘MIDI events’ that other instruments can pick as ‘triggers’ to make sounds. If ‘local mode’ is off, then the unit will NOT trigger its internal sounds, but it will send those MIDI events.
For the most part, as a beginner with a basic universal setup, you can just leave the thing in Local Mode (probably the default), and use the monitor/record buttons on your MX audio track to control if you hear the onboard sounds of the MX or not.
A keyboard like the MX can also ‘accept’ MIDI events over that USB connection, and have sounds that live in the MX triggered. To do this, create a new MIDI track in Cubase.

Set its output’ to the MX (Fantom for me). Now whatever data is drawn/loaded/recorded onto the MIDI track can trigger sounds in the MX. I could use my keyboard to record to this MIDI track, and have it trigger the sounds in my Fantom XR.