RSP's hardware control is not done via the MIDI input. So when you control, say, the arpeggiator with a Lightpad, no MIDI data is coming through your DAW's MIDI input. They talk directly over the USB or Bluetooth connection, bypassing the MIDI ports.
For the 3 Macro faders you could alternatively use MIDI CCs 107, 109, 111 and for the X/Y pad CC CC113 (X) and 114 (Y) from the Lightpad app called Rise Controller, but there's no assigned MIDI CC for all the other parameters (Chord feature, Arpeggiator, etc).
The intended way to automate the hardware controlled features of RSP is using your DAWs plugin parameter automation instead of recording MIDI data. All controllable parameters are properly exposed to the host DAW as automateable. I can't tell you how to exactly go about that in Cubase, but it should be pretty straightforward, similar to automating a mixer channel's volume fader.