Does this tutorial help?
https://www.yamahasynth.com/montage-category/montage-and-cubase-pro-9-workflow

There's a section:

The TEMPLATE:
In Cubase, the template opens with a VST INSTRUMENTS Folder (containing Montage Connect), a MONTAGE MIDI Folder, a MONTAGE AUDIO Folder; the MONTAGE Connect utility will initially be opened -make sure "Auto Sync" is ON (then you can close the "MONTAGE Connect" window, it will run and function automatically in the background). You can see the program listed, (screen right), in the VST INSTRUMENTS area:

--- article has a screenshot here, not duplicated in this quote --

CubaseMainView

VST Instrument Folder: contains MONTAGE CONNECT - the "Track Lane" here is a pseudo-Track - no data is stored or recorded here, it simply reminds you that the MONTAGE CONNECT utility will be able to automatically capture and restore your MONTAGE Performance. Every parameter is captured and stored with the Cubase Project when you SAVE. The template has the AUTO SYNC = On so that whenever you open your Project, Cubase will automatically bulk dump the Performance you were using at the time back to your MONTAGE's Edit Buffer. This means you do not have to even have the Performance pre-loaded in your MONTAGE - everything is bundled and stored with your Cubase (.CPR) Project file. This FOLDER can remain closed (as shown above) - MONTAGE CONNECT works in the background, automatically, without you having to mess with it at all.

It is important to know that when you execute the normal Cubase SAVE operation, MONTAGE CONNECT will request a bulk from the MONTAGE hardware - it thus automatically updates and documents the Performance being used your MONTAGE at the moment you SAVE the Project. And you will notice that upon opening that Project in the future will automatically restore the PERFORMANCE to your MONTAGE... Even if the Performance is not in your User Bank, MONTAGE CONNECT will restore every setting.

In the screenshot above the VST INSTRUMENT Folder (at the top) is closed. The MONTAGE MIDI Folder is open with its MIDI Tracks: Sysex, MID 01, MIDI 02, MIDI 03 and so on. Offscreen below the MONTAGE MIDI Folder is the MONTAGE AUDIO Folder with its sixteen stereo Audio Tracks.

The Montage Connect Owner's Manual shows the example of editing a song recorded (Performance Recorder - simple sequencer) on the Montage with DAW software (Cubase AI in my case). The process I have used over the past few months is recording MIDI from the Montage directly to Cubase AI MIDI track(s) and then saving the project (.cpr). Using my process, is it possible to save the Montage Performance settings using Montage Connect so that when I open Cubase and open my .cpr project the Montage Performance settings are automatically returned?

Yes, you can setup MONTAGE CONNECT to run inside Cubase AI (it will run in the background) it will automatically request a bulk from your MONTAGE every time you SAVE your Cubase Project (.cpr). And you can have MONTAGE CONNECT automatically restore the Performance next time you open your Project.

Or must I make a multi-channel performance recording on the Montage first?

No, you do not have to record to the internal MONTAGE recorder first. It is there to capture ideas quickly (without having to connect to the computer), if and when you wish to use it. The internal recorder automatically retains the Song you record internally in a “Data Contents” > “Song” Folder — which is directly accessible via MONTAGE CONNECT through the USB connection.

One such example would be say you are using multiple Arpeggios to create a rhythm section backing... you can record several measures of Verse working out several different ideas, followed by several measures of Chorus, you might even work out several extended sections etc... drag and drop, the entire experiment to the DAW where you can easily cut and paste the best segments. But it is entirely up to you whether you use it or not. In the “MONTAGifying MOTIF XF” Series, we created a Quartet, Quintet, Sextet, and Septet R&B thing that works to generate musical Sections using the Scene buttons to define them.
Scene 1-3 are Main Sections, Scenes 4-5 are fills, Scenes 6, 7 and 8 change the dynamics and Play effects to change the feel... by recording to the internal recorder, you can work out ideas, create different chord progressions, in general experiment .... later just pull it into Cubase and grab your best jam...

MONTAGE CONNECT
You can create your own 16-Part MULTI Performance to act as your default starting point... MONTAGE CONNECT can send this every time you open MONTAGE CONNECT within the DAW. By setting Auto Sync = On, MONTAGE CONNECT will automatically capture when you Save the Project and restore when next you open that Project!

Running MONTAGE CONNECT inside of Cubase
Launch Cubase.
FILE > New Project > under the "MORE" heading tag, select "EMPTY" and direct the Project to a New Folder on your computer.

Launch the MONTAGE CONNECT as a TRACK INSTRUMENT within a blank Cubase Project:
When the blank Project screen appears - go to STUDIO (formerly called DEVICES) > VST INSTRUMENTS > launch the MONTAGE CONNECT; go to TRACK INSTRUMENT > External > MONTAGE CONNECT

Cubase creates the TRACK INSTRUMENT - the Keyboard icon will open/close the graphic interface of MONTAGE CONNECT.
When MONTAGE CONNECT is opened as a VST INSTRUMENT inside of Cubase, you will observe the Steinberg Cubase "Cube" icon appears in the CONNECT window at the top. Clicking here you can LOAD PRESET, SAVE PRESET and SAVE AS DEFAULT PRESET your MONTAGE PERFORMANCEs. This connects you with the Steinberg Media Bay/Sound Browser on your computer.

It is here that you can archive all the MONTAGE setups you use in your Projects. They are automatically Saved and Retrieved from the Sound Browser (even if you never directly deal with it). Here you can choose what is Saved as the "Default" MONTAGE setup.
Set AUTO SYNC = ON to ensure the automatic Save/Restore functionality.

All the changes you have made to the Performance will automatically be Saved with the Project and will automatically be restored when next you open the Project!

You can change / update your Default Preset at any time - just this easily. Again, this is a "workflow" item - if you find yourself working a certain way over and over, then you can update this Default PERFORMANCE as it best serves your particular 'workflow'.

Also once you complete work for the day, simply by Saving the Project, Cubase will also grab a bulk from the MONTAGE and bundle it in the Project File. Cool!

Jason and Bad Mister,

Thank you for your very insightful and detailed responses. I was finally able to get Montage Connect to work using my workflow process. It is cool that I do not need to complete a Cubase project before I shutdown the computer and Montage. Montage Connect is a very powerful and well thought out program to assist composition and production. Looking forward to using it for my projects going forward. It seems that Yamaha Montage provides unlimited learning opportunities for me. An exciting challenge for sure!!

Enjoy your day.
Paul