No. If you want to use Retrospective Record simply connect to Cubase.

The same result can be achieved on the MONTAGE by creating your Performance and recording MIDI playing to a linear Song (great for just trying out ideas). Later you can use the Pattern Sequencer’s “Edit/Job” > Song/Event > Get Phrase function to grab the good portions.

The same can be achieved by recording direct to a USB stick as Audio. If you utilize Click = Always, you can capture your play referencing the tempo... this makes it possible to place the resulting wav into a Project at that tempo... where you can grab the good stuff.

But in both cases you must hit RECORD.

From the Cubase Operation Manual......
The Retrospective MIDI Record setting allows you to capture any MIDI notes that you play in stop mode or during playback and turn them into a MIDI part after the fact. This is possible because Cubase can capture MIDI input in buffer memory, even when not recording.
PROCEDURE
1. In the Preferences dialog, select Record > MIDI.
2. Enable Retrospective Record and specify a Retrospective Record Buffer Size.
This activates the buffering of MIDI input.
3. In the MIDI track list, activate Record Enable.
4. Play some MIDI material either in stop mode or during playback.
5. Select Transport > Retrospective MIDI Record.
RESULT
The content of the MIDI buffer is turned into a MIDI part on the record-enabled track, and the captured notes end up exactly where you played them in relation to the project.