You have to create audio tracks (one for each MIDI track, so just one in this case) and actually record the sound coming out of your MODX. MIDI is just note information, it doesn't make sound on its own. And Cubase can't automatically "render" it like it can with a software instrument, because the MODX isn't one, it's an external audio and MIDI source.

So create an audio track with the input set to MODX Main L&R, record enable this track, and record. The MODX will receive the MIDI you have recorded and play it back as audio, and that audio will get recorded. Then you can export this as an audio file.

You can't - that's not proper use of a MIDI file.

Just like you shouldn't eat a recipe (a piece of paper with written instructions of how to make a meal).

A MIDI file is a set of instructions that tells a MIDI device (like MODX, or whatever it is targeted for) to do something. So you don't "export" the file (which, to me, means some form of conversion into a different file). What you do with a MIDI file is send it to MODX and then MODX itself will respond by playing what were the recorded instructions inside the MIDI file (or MIDI track).

If you want to record audio with Cubase - use an AUDIO track. You will need to setup the track (or tracks) to use audio outputs from MODX. You have choices - either send the analog Main L/R outputs (with cables) to a different audio interface that's not MODX or, better yet, use MODX's built-in USB audio interface and use digital channels supplied directly by MODX. Here you have choices too. Either track different PARTs to different audio channels (USB 1&2, 3&4, etc) - or just take the combined (mixed) result of all PARTs (digital Main L/R).

Check these out:

https://yamahasynth.com/learn/modx/part-1-mastering-modx-audio-record-on-daw
https://yamahasynth.com/learn/modx/audio-record-on-daw-part-ii-mastering-modx

... and notice how this is different than:

https://yamahasynth.com/learn/modx/modx-midi-record-on-daw

Which is what you did (or similar) to record the MIDI track you attached a screenshot of.

Here's another thread that covers your question w/official Yamaha support answer:

https://www.yamahasynth.com/ask-a-question/does-modx-audio-get-recorded-as-audio-in-a-daw

I recorded a midi track on a cfx piano. I attach a screenshot. I try to export to a wave file, but gets an empty file. You can't hear anything in it. How to correctly export midi to wave?

Joakim is exactly right... MIDI data only represents the musical performance. You record as MIDI, generally, so you can correct any mistakes, change your mind about the instrument program, or to create notation (Score)... otherwise you can simply record directly from your MODX as Audio.

Here are some options...
__ You can return to the top... you’ll be playing this MIDI data back to the MODX; This will cause it to Output Audio. The MODX can act as an Audio Interface for your computer. So when this MIDI arrives back at the MODX Tone Generator, the synth will Output two stereo streams of Audio. One analog — that goes directly to your Monitor Speakers. The other digital — that goes out via USB to the computer.

We see you have Cubase Pro, but we’ll describe the basic way first... to gain an understanding of how this digital signal is routed in Cubase.
Go to STUDIO > AUDIO CONNECTIONS > INPUTS tab
Here you should see a “Stereo In” that is set to “Audio Device” and “Device Ports” that indicate Audio coming from the MODX as “Main USB L” and “Main USB R“

This the Digital Stereo Out from the MODX arriving in Cubase.
Check the OUTPUTS tab... here Audio is sent to the MODX acting as your audio interface (doing D-to-A Conversion).

Return to the main Cubase Project Track screen and Add an Audio Track.
You can go to PROJECT > ADD TRACK > AUDIO > Stereo

This will put a Stereo Track on the main screen, ready to receive Audio via “Stereo In” and set to send Audio Out on the “Stereo Out”

Playing back the recorded MIDI Track will cause audio to arrive at the Input of this Audio Track.
When the Record Ready is active you will hear both the ANALOG path that goes direct to your speakers and you will the DIGITAL path that return audio to Cubase which Cubase Outputs to the Audio Interface (the MODX). This why you hear doubling.

During the record process you can opt to click the “m” (mute) on the Audio Track. This way you are monitoring the MODX “Direct”.
After you have recorded the Audio Track in its entirety- Mute the MIDI Track and unMute the Audio Track.

This will create a .wav file which is stored in your Project’s Audio Pool.

Alternate Options
With Cubase Pro you can setup your MODX using VST Routing. What that means is you can deliver “virtual audio” to Cubase in the same way that plugin synths do.

VST or Virtual Studio Technology is a technology developed by Steinberg back in 1996. It was a way to introduce external hardware and software into the DAW environment. (Yes, soft synths are even external to the DAW — VST was the first to introduce plugins). A SOFT SYNTH is a bit of code that works like a synthesizer... when you open a VST Instrument in Cubase, you have a MIDI Track that stores the notes you want it play, it creates an Automation Lane to Control it and a Virtual Audio Lane through which you monitor what the soft synth is doing. It is not a REAL Audio Track (no Waveform is drawn) it is Virtual Audio... it is what this synth track *will* sound like when finally rendered (Exported) as Audio Mixdown.

VST Routing can be setup for external hardware synthesizers and effect processors. Cubase innovation includes advanced delay compensation so that both input and output latency is compensated for...

When you setup your external hardware as an EXTERNAL INSTRUMENT, you create a routing situation where audio is “returned” to a virtual audio lane exactly like a soft synth. This gives you the advantage of hearing your MIDI recording returning to the DAW where you can now use plugin Effects, you can render audio and Export Audio Mixdown in a similar fashion to plugin synths.

There is one important difference since the audio is not generated by the computer (as with all soft synths) the rendering of audio must take place in real time. Virtual audio can be rendered at the speed of your computer processor, however REAL audio is rendered in REAL-time.

We are planning on a tutorial on this VST Routing for those with Cubase Pro — it does afford you significant advantages in Rendering audio, Exporting Audio Mixdown and using the Freeze function when you need to exceed 16 MIDI Parts and you don’t own a second or third MODX.