MIDI does not, contrary to widespread belief, need to be recorded to separate Tracks. When you generate a MIDI message like a Note-On, that event includes the MIDI channel. Therefore 16 channels of MIDI data can share the same track. All the data remains discreet.

Another widespread misconception is that MIDI Channel setting on a Cubase Midi track is not MIDI In. Cubase "rechannelizes" the data forcing all data to that channel setting. Not what YOU want if your goal is to record four separate musical parts.
Each Cubase track records MIDI data, no matter what channel you transmit it in on. This works for most situations because you are playing one instrument sound at a time transmitting on a single MIDI channel at a time. (you are not)

But when you are interacting with a Performance with four Parts, you need to send each Part OUT on a separate channel!

You should create just one MIDI Track in Cubase, and set the MIDI channel to "Any". This will allow Cubase to echo back the information to the S90 XS on the MIDI channel it originated on. If your goal is record the data you play direct, and record the output of the arpeggiators, you will need to analyze the Performance, determine which Parts YOU are playing directly, and which Parts the Arpeggiators are playing.

You get in trouble when you start thinking YOU are generating all the MIDI data, remember some of that MIDI data is generated by the Arpeggiators.
You want to record your playing direct, and return that data to the sound (Part) YOU are triggering.
You want to set the Parts that the Arpeggios are playing to be routed OUT via MIDI (and you want to select a discreet MIDI channel for each separate Arpeggio Part.

The only reason to have separate MIDI Tracks is for ease of editing. Which you do later by splitting your one track into four separate streams, later. But during record, set the MIDI channel of your ONE track to "Any".

In your keyboards Performance, you must set each arp Part so that it is set Transmit the MIDI data generated by the Arp phrase OUT, and you need to set a different MIDI channel for this data. After all you play just one note, and several minutes of drum data stream from the Arpeggiator. If you record just the triggering notes to the Drum's channel, you'll obviously not get the results you anticipate... Remember what you are playing is being completely ignored by that drum kit (except for the initial note that starts that arp phrase.) what you are playing - played back to a drum kit will sound like somebody fell over a drum lit.

By turning the ARP OUT = On you will be preventing what YOU are actually playing from coming back and triggering the drums. You need also to select a discreet MIDI channel for this Arp generated Drum data. Same is true for each Part assigned an Arpeggiator.

Press [EDIT]
Select the PART 1-4 that has an arpeggio assigned
Select “Arpeggio”
The parameters you are looking for are “Arp MIDI Out SW” and “Arp Transmit Ch”
Set the Switch = On
Set a separate MIDI channel for each Arp Part.

Other considerations:
Clock synchronization: you should set your DAW (Cubase) so that you are sending MIDI clock to the S90 XS via Port 1. Cubase will be the master clock. By selecting the Quick Setup for recording arpeggios, the S70XS is set to MIDI SYNC = “auto”, which will allow it to slave to the clock of the external DAW, yet you can still have the arp play without having to start Cubase (this is useful when you want select or practice with the arp… You do not have to always start the DAW master clock to hear the XS)

As to the other setting in Cubase, setup a MIDI track set to "Any". Use the click from your DAW to count you in, you will need to trigger the arps in time (as always it is the player’s responsibility to “play” in time. You just need the Count-in

Make sure that your DAW MIDI track does not send or echo the data back to the XS, during Record; the arp generated data must “dead end” in the DAW during this record process. If not, you will quickly have chaos… MIDI notes coming from the DAW will trigger the arpeggio and you’ll have a loop.

Once you have recorded the arp generated notes to your DAW, then you can set the MIDI OUT to go back to the XS, making sure you disable the PART’s ARP SWITCH. Make sense.

Is this complicated, oh yeah. You have multiple streams of data, being output on multiple MIDI channels. And now in order to play it back... You must COPY the four Parts of the Performance to the first four Parts of a MULTI, setting each to match the MIDI channel you routed its data out on.
Go to a new MULTI
Press [JOB]
Select "Copy"
Select "Perf"
Set the dialog box that appears to copy your Performance to the Multi.

This will assign all the Parts to channel 1 if you target Parts 1-4
You must match each Part with the data you send OUT the Midi data.

You may find it easier to record your arp phrase Parts to the DAW from Multi Mode (one at a time). Transmitting on four channels simultaneously, is at the deeper end of the pool.

thank you so much - i haven't had a chance to try it all yet but i will let you know how i get on - much obliged!