Hi Sebastian,
Thanks for including the screenshot, because immediately we can see it is a routing problem.

You say you have the Editor up and running but you do not show it, and the MIDI Tracks are not assigned to it. Let's get that going because it will do the routing that allows the audio to return properly to Cubase AI:

Please be sure you are using AI (not Elements)... AI is Advanced Integration - which we will be using to return the audio from the XS7 to Cubase.

Before we begin with Cubase make sure your XS is ready to route MIDI signal:
From SONG/PATTERN mode press [SEQ SETUP]
Select [QUICK]
Select QUICK SEQUENCER SETUP #2: Recording on computer
Press [ENTER]

In Cubase:
Go to DEVICES > VST INSTRUMENTS > Under the RACK INSTRUMENTS > "External" find the "Motif XS VST"
This will launch the Editor VST
You will see a VST INSTRUMENTS Folder created in the Track Inspector area, inside that folder will be a Motif XS VST Folder containing an AUTOMATION LANE and an AUDIO LANE for the Motif XS VST.

You will be asked if you wish to create a MIDI Track for this VST INSTRUMENT... you can say no, because you already have the MIDI Tracks recorded. You will need to redirect them to "01. Motif XS VST - MidiIn"

Here's how:
What we will be doing is changing the MIDI OUT assignment of each of your MIDI Tracks from your current setting "Yamaha Motif XS7-1" to the correct setting "01. Motif XS VST-MidiIn"

The difference is MIDI signal will now traverse the Editor before triggering the Motif XS.

You can manually change each Track going to the XS or you can select all the MIDI Tracks and change them together. In your screenshot the "snare" track is selected. Highlight all tracks (SHIFT CLICK the top and bottom tracks)

With all tracks highlighted, hold down [SHIFT + Alt + Click] the MIDI OUT assignment line
Change the MIDI OUT setting to "01. Motif XS VST - MidiIn"
Now when you select a single track you will hear that PART when you play the keys, also the keyboard in the Editor will show you what notes are paying on the selected track.