Again you are guessing. It is not your fault, but there are some things that when you understand them make it all make sense. And until you know these things it can be frustrating, very frustrating.

When you select a QUICK SETUP template, while these can help get you to the correct settings quickly, if you don't understand what it is that is being done, you are simply taking it on faith. When you understand each of the settings it is then that your feel empowered and you can proceed "knowing" what you are doing is going to work.

The signal flow diagrams on the Quick Setup, Audio I/O and MIDI I/O screens tell the whole story, and while they just look confusing the first time you encounter them, eventually you will get to know exactly what it is they are indicating, and why.

Let's start with "LOCAL CONTROL". This is a Switch that connects the Montage KEYBOARD to the Montage TONE GENERATOR.
When you connect to a DAW to record MIDI you will want to break this connection. So that MIDI data goes OUT via USB to your DAW, first. You then complete the routing in the DAW.

There a MIDI Track echoes the signal back to Montage via USB to trigger the Montage TONE GENERATOR.

See below the MIDI Signal Flow when Local Control is OFF (connection broken)

This means the signal leaves the Montage (MIDI OUT) and goes to the DAW, the signal must come back MIDI IN via USB to finally get to the TONE GENERATOR. Once this is understood, you understand why you get NO SOUND, when you select "MIDI Rec on DAW" if you do not have an ACTIVE MIDI Track that completes the circuit.

Does that make any sense? It is a very important fundamental when using MIDI - be it in Cubase or any other DAW software!

Yes it makes sense, I do understand the routing now.
But it looks like there´s a bug. As soon as I open up the window for setting syncronisation, all sound dies. Without even making a setting, just by opening the window.... So yesterday everything worked, I even got to sync DAW and montage and record a track with an ARP and today it´s weirding out again....

after playing with it today, it´s definitely inconsistent. I think the settings were always correct, but sound just vanishes sporadically. Recording something anyway without hearing it and playing it back brings back the sound sometimes, or closing and reopening the project... When I do have sound, everything works, like recording multiple channels to one track and recording performances with arps. Must be my DAW that´s acting up. Wouldn´t be the first "issue" with it. Learning Cubase will follow soon.