The Motif XF doesn’t output audio via USB, nor does it receive USB audio input. With your current setup, Cubase can only receive and send MIDI notes to your Motif XF. The notes control the Motif’s internal sound generator, and you should be able to hear that through the speakers attached to it.
With your current setup, to be able to hear audio from Cubase, such as audio files and VST instruments, you’ll need speakers or headphones connected to your computer.
To be able to record your Motif’s output as audio, and hear the sound from both Cubase and the Motif at the same time with low latency, you’ll need an USB audio interface.
Yamaha Steinberg makes such interfaces, and there’s two models that would work well for you:
The UR22mkII can record your Motif’s stereo output as audio. Connect your speakers to it and you’ll be able to hear the sound from both Cubase and the Motif. This allows you to enhance your music by combining your Motif with VST instruments, which are often capable of more realistic sounds. For example, Cubase Elements 9.5 comes with an emulation of a drum kit recorded in a real room, which is included as part of the Groove Agent SE plugin.
The same applies to the UR242, but this one includes two additional audio inputs. This allows you to record vocals and a guitar/bass to separate audio tracks in very high quality while you play your Motif. Recording them to separate tracks allows you to apply VST effects to your recording, or improve the timing and pitch using Cubase’s tools. Alternatively, you can also use these additional inputs to record the Motif’s instruments as audio to different tracks, allowing you to apply different VST effects to them.