Since the MONTAGE comes with a free download of Cubase AI, you can pretty much assume it is possible.

MONTAGE and Cubase Setup Guide

Have you downloaded and installed Cubase AI?
Have you downloaded and installed MONTAGE CONNECT?
Have you installed the Driver: Yamaha Steinberg USB for your computer type?
Connected MONTAGE to the computer via USB?
Connected the Main L&R Outputs of the MONTAGE to speakers?

I have cubase 10 pro. 😀

But I think you haven´t understand my question. I´ll try again.

Ex. If I have recorded some chords on a miditrack in cubase and now want to have some arpeggios for that played chords. On a Motif XF I can choose Arp Rec to Daw and get the MIDI out a new track so I can edit the midi in cubase. BUT on Montage I cant! Because when I choose Arp Rec on Daw the Arpeggio stop playing and I can´find anywhere to choose what midichannel OUT i can choose.
The ONLY way on montage to record arpeggio to DAW (Cubase) is when I play the thing on the keys on the Montage.

I want to be able to play midi from Cubase to the Montage, then trigger the arp on Montage so I can record the midi-out.

It is not possible. See this post for reference: https://yamahasynth.com/ask-a-question/recording-arp-when-sequencing-externally

Super weird limitation. But it is just one of many. If you read the forum you will find people complaining about all kinds of design choices that limit functionality in favour of simplicity.

If you truly want to discuss it, we can. It is not weird, it’s a matter of Routing. If you look at it from that viewpoint, you can begin to understand what the possibilities are. And once you do that, then, and only then can you find a way to your ultimate goal. But you have to stop worrying about how you used to do it! (Just my recommendation)!

What are you doing?
The reason to do what you are attempting: input chords to the DAW, you route those Out to an external device (MONTAGE), you have that device create the musical phrase (Arpeggios) data that you can capture back in Cubase — What you are ‘working around’ is having to actually enter the controlling chord data in real-time (the way the Arpeggiators are mainly designed to work)... Otherwise, why use Cubase to “play” the Note-Ons that drive the Arpeggiators? Okay, that’s fine, there are legitimate reasons to want to do this... the DAW offers lots of features concerning Chord generation. And availing yourself of the creativity built-in to the MONTAGE Arp Engine, is understandable.

Let’s follow the signal... and find a way to do this...

__ What you will discover you cannot do is send data to the MIDI IN, have it trigger the Arpeggiator, and have it feed the resulting Arp Phrase to the MIDI OUT (all in real time). That routing doesn’t exist.
__ You can still send MIDI IN and have it trigger the Arpeggiator, but naturally from there it is routed to the Tone Generator. Think about it, of course, it is. It is primarily designed to work for sounding its own data, particularly in response to trigger events arriving at the MIDI IN (not for being an Arpeggiator for a DAW). When ‘working around’ the barn, don’t forget you are working ‘around’ the barn. Obviously, it works the way it does (it’s a barn!)

It is also designed to record controlling note-on events via MIDI In. Of course it does. So therefore there is going to be a way to capture the chord data being routed IN via MIDI... and you can have it recorded in the Pattern Sequencer after it has been sorted by the Arpeggiators.

So, following the routing, what you must do to “cheat” (and not have to enter the chords yourself in real-time) is, Send your chords in from Cubase, to the MONTAGE MIDI IN, trigger the Arpeggiator, and record it to the MONTAGE’s internal sequencer.

Now you can transfer the data from the MONTAGE to Cubase... in a separate operation.

The MONTAGE Sequencer can Output data to Cubase... Always could, either real-time or via file transfer.
Using the SONG IMPORT feature in MONTAGE CONNECT, you can literally drag the icon into Cubase.
Songs can be directly imported to your Project... use Pattern Chain to ‘convert to Song’

No, there is no ‘real time’ path through the MONTAGE for generating Arp data from incoming MIDI while simultaneously recording it at the MIDI Out. It must end in the internal Sequencer, then you can transfer it to the DAW.

Extra Credit
The Key Modes of the Arpeggiators work to determine how the incoming note-on data is to be processed. The note-on data is generated by the physical Keyboard. In certain Key Modes the note-on data is blocked from going through to the Tone Generator, instead it is analyzed musically and that analysis determines how the Phrase data is generated. This is what happens on your traditional node flourish Arpeggio Phrase.

The difference in the routing scenario found in an XF and the one found in the MONTAGE is, the XF was integrated with the sequencer. The integrated Sampling Sequencer was designed for building songs on board. Receiving MIDI IN and routing it through the Arpeggiators was implemented. A Track could record either your direct key presses or it could record an Arp phrase. And separately you could route the Arp data Out on a MIDI Channel. (But it even had to use two modes to record multiple Arp’s intelligently. Performance mode was used to record as many as four simultaneous Parts with Arps to the Sequencer.).

The MONTAGE is not built around an integrated Sequencer. Multiple Parts and multiple Arps are handled from within the single Mode. Understanding the Routing allows you to see how you must adjust your ‘old workaround’ to the new routing system employed here.

Due to the positioning of the sequencer it is necessarily different. To capture the MIDI events generated by the MONTAGE Arpeggiator in response to incoming MIDI note-ons, you must engage record on the MONTAGE to print the events.

Then you can drag and drop them into Cubase or you can export as a .mid File.

What you need to setup
Your trigger notes are in Cubase. It is the Master clock. TRANSPORT > PROJECT SYNCHRONIZATION SETTINGS... > make sure you are sending standard MIDI clock to the MONTAGE Port 1. Make sure the MONTAGE is set MIDI SYNC = MIDI
Send your Cubase into the MONTAGE setup to a blank Pattern Scene. Set to the Length to the proper value. Set Loop = Off to automate the end of Recording
Hit Record on the Pattern Sequence
Start Cubase.

The data is now documented as MIDI Events.

You cannot use the sequencer/mixing setup as you did in the XF... that same exact situation no longer applies. Instead, you have to print the events then transfer them. No big deal. Third time you do it, you wonder what the big deal was in the first place.

Alternate Method: Setup for “Arp Rec Out”. Enter the chords on the MONTAGE, the Arpeggiator will automatically output the data to Cubase in real time. Use the Arpeggio “Sync Quantize” to auto-correct your start timing and chord transition timing.

Thank you Bad Mister!