Midi is simply a list of instructions: what note to play, when, and for how long. There is no audio.
When you play your PSR, your pressing of the keys generates midi information which goes to a sound module within the PSR. This then generates the assorted sounds that you hear.
What appears to be happening in your situation is this: When you record the PSR via USB, you are recording the midi generated by your playing. When you play this back, the midi is being sent back to the PSR via USB, and you hear the result through the PSR's sound module.
To be able to hear the PSR's sounds in Cubase, you need to be able to connection the line out of the PSR to the computer in some way, then record that as an audio track. You may be able to go from line output of PSR to a line in on the computer, but a better way is to get an audio interface for this.
Alternatively, you can use the recorded midi to generate audio on a virtual instrument that you can load into the track.