Hi,
The device sends common MIDI Messages to Cubase. The Remote Device (Mackie Control in this case) changes the MIDI Message to the command. But the MIDI Track also receives the MIDI Message. If you disable the option, this means, once you select the ‘All MIDI Inputs’ as the input of your MIDI Track, the track receives the source MIDI data, which mento to be to control Cubase too. So you have to remove given MIDI Port from the ‘All MIDI Inputs’, to block the MIDI data (meant for Cubase control) to go to the MIDI/Instrument Tracks.