Ok, so now what you are asking is if you can use the Edirol's built-in sounds, without resorting to using it as the link in the MIDI chain, and I think the answer to that is "Yes and No". Only because you still have to let Cubase talk to the Edirol's programming somehow, and the means to do that is via MIDI. But from what you are asking now, it's just a simple add-in.
You'll leave your setup as it has been for the past several months, and by adding the Edirol to your computer, you give yourself new options of sounds to play back.
Now telling Cubase to use the sounds on
the Edirol SD-20 will take a bit of programming, I think. Not too difficult, but let's say you want to use the Edirol Hammond B3 organ sound for the MIDI notes you have recorded earlier using your MIDI controller....okay, well that particular MIDI track which has notes in it, will play whatever MIDI program Cubase is told to use. Presently, it's default is the GM sounds from your computer's sound card. But you want to change that, as you should.
So in the OUTPUT of the track, you will select the Edirol and probably a patch #, to bring up the right sound in the Edirol when playback starts. Furthermore, you need to have your Audio Out from the Edirol hooked up to your sound system so you can hear the notes as they play.
Example on the Cubase Track: OUT: Edirol #47 (where 47 might be the number of the Hammond Organ sound).
Something like that, I think.
NOTE: You still need to let Cubase know about the Edirol's existence, or else you will not have the option to select it from the MIDI Track OUTPUT.
The neat thing about MIDI, is that you can change the notes, durations, fix errors in your playing, everything, before recording the actual audio track. And the way you do that (record the Audio) is by setting up another Track, right next to the MIDI track usually, except that this track is now Audio. It will record "IN" the sounds coming out of the Edirol. Which brings up a new complication of having to take the Audio OUT from the Edirol and plugging it into an Audio Input on your Firestudio.
Lastly, to do that last paragraph.... you will PLAY the song in Cubase. As the time marker is moving along, it plays the MIDI notes in the MIDI track, and you hear the sounds from your Edirol. To record those sounds, you will hit "Play" as just described, while simultaneously recording on the new AUDIO track to capture the sounds coming out of the Edirol. So playing and recording in the Cubase song are going on at the same time.