Your "Audio 01" audio track is, in the screenshot, set to "USB Main". I assume this is the input configured to "USB Main L&R" (Cubase's input, MODX's output).

If that's the case then "Audio 01" is set to record Part 1. When you press "Audio Rec on DAW" this sets up each Part on a different set of USB outputs. Part 1 is set to Main L&R, Part 2 to USB 1&2, and so on. To clarify - you do not "enable" Audio Rec on DAW. Pressing the button does not set a mode that is enable/disable. The button is a shortcut that applies settings. Settings that can be undone if you recall a different Performance or manually edit those parameters yourself. Therefore, if you want to be sure "Audio Rec on DAW" has set everything as you expect it to - you would press the button every time you want these settings configured after recalling a Performance. If you recall a different Performance, you'll need to press the shortcut again if you want to be sure that now the new Performance is setup accordingly.

Make sure Part 1 is something you would expect to make sounds for your Performance. It's probably easiest to start with GM/Multi since this Performance is setup to have Parts that make sounds on each Part. And it is also setup to make sounds on Part 1 out-of-the-box. You can use this setup to get your feet wet and see how you can group together multiple parts using keyboard control (Parts 1-8) or record one-by-one by selecting an individual Part and not changing keyboard control vs. the Multi/GM defaults.