I guess I already know the answer: it doesn´t work, right?

Wrong.

it works??? but how? I tried with Cubase, got nothing.

Assuming Windows ...

The issue is that if you're using the Yamaha Steinberg USB driver as the driver for your soundcard (system sounds) - then the audio routing for system sounds is pretty limited. If you uninstall the driver and use Montage as a class-compliant device (built-in Microsoft drivers) - then you actually have more options than the Yamaha/Steinberg driver gives you to route the audio. So that's one option -- but it's a bad one if you want to also use Montage's 30 other USB outputs.

Since the driver doesn't let you direct system audio to any other channels other than Main L&R - you get in the place where you are now - stuck without being able to record this. What you want to do is output your system sounds to the Digital L&R channel OR Assignable L&R channel then wrap patch cables between Assign L&R and the A/D L&R inputs on Montage.

One way to do this would be to install an ASIO driver that allows for you to do this. Voicemeeter is such a product that would allow for you to route the system audio such that you could record it in Cubase. You may also be able to handle this using ASIO4ALL. I prefer Voicemeeter because there's more granular control over the routing and also levels.

Another thread:

https://yamahasynth.com/ask-a-question/use-montage-cubase-to-record-from-internet/latest

thank you, that explains why it doesn´t work.