What I am doing bad? What I have to do to record each midi-track at the same time?

Here’s what you’re missing and how to accomplish your goal:
MIDI does not require separate Tracks to keep data separated... MIDI has a “Channel” system where each of 16 MIDI parts can co-exist on a single Track without interfering with any other part’s data. This is different from Audio data.
A Cubase MIDI Track, for example, as you’ve correctly noticed, is capable of recording all 16 MIDI Channels of information. The only reason to separate MIDI data to individual Tracks is for the convenience of viewing it and editing it.

Here’s how to proceed: you are going to record just a single MIDI track, initially... then, you will *separate* the data after you’ve recorded it!

Step-by-Step
Set Cubase to be the master clock: Go to TRANSPORT > PROJECT SYNCHRONIZATION SETUP... > MIDI CLOCK > DESTINATION = MOXF (Port1)
Set the MOXF to be the slave to MIDI clock: Press [UTILITY] > [F6] MIDI > [F3] SYNC > set MIDI SYNC = Auto
Set the SeqCtrl = In

In Cubase create one MIDI Track.
PROJECT > ADD TRACK > MIDI > add one MIDI TRACK
Set that MIDI Track so the INPUT = ALL MIDI INPUT and the OUTPUT = MOXF VST MidiIn
Set the Channel = “Any”

By setting the channel to “Any”, Cubase will be able to document all 16 Channels of information coming from your MOXF... and can send it back to the MOXF on the Channel it came in on.
Set the Track to Record and transfer the data in real-time.

When complete press STOP
Now you can have Cubase separate each MIDI Channel to a separate Track.
Go to MIDI > DISSOLVE PART > set the dialog box to “Separate by Channel”

Note: if DISSOLVE PART is not available, you must *select* the recorded track data... on the main Track view screen simply click on the recorded data to select it.

Cubase will now list all Channel 1 Data on its own Track, Channel 2 Data on its own Track and so on.

Hope that helps.

Thanks!

Now it works.