I just noticed I am having the same problem!
It’s 2022 and I am using Cubase 12 on a Macbook Air M1
I have set “Built-in Audio” as audio device in my audio settings and activated the control room. Then when I try to set up the “Monitor 1” with “Built-in Audio” it does not activate the output and instead stays on “Not Connected”
Does anyone know what’s going on here?