1. The first thing to check is that you've selected the appropriate MIDI track, and that this is correctly routed to either a VST Instrument or the appropriate MIDI output. Cubase normally rechannelises its MIDI data to whichever MIDI channel is allocated to the selected track, so if you've got an Audio track highlighted it won't go anywhere at all.
2. Next, you need to have software MIDI Thru Enabled box ticked in the MIDI System Setup dialog to ensure that data is passed on to the appropriate MIDI output.
3. In the case of a VST Instrument, you have to have the Audio part of Cubase enabled to hear anything. In the Audio Setup part of the Options menu, make sure that the bottom option reads â€˜Disable Audio'. If it reads â€˜Enable Audio', it's currently disabled, and you won't hear either audio tracks or VST Instruments, and the MIDI Out indicator won't flash when you highlight a MIDI track routed to one.
4. If this still doesn't make your MIDI Out indicator light up and produce sounds, another culprit may be the MIDI Filtering dialog - check in its Channel section that the channel that your keyboard is sending on hasn't been filtered out.
5. Yet another culprit may be the Remote Setup
dialog in the Options menu. If this has been activated, the MIDI input allocated to it
will get hijacked, and its MIDI note data won't get sent to the output. So, if you're not
using a MIDI Hardware controller for automation purposes, open the Remote Setup dialog and
make sure the Remote device is set to â€˜None'. If you are, make sure that its Input
device isn't the one also used by your keyboard