Sound is a separate situation from MIDI. In a situation when setting up with a DAW like Cubase the Midi travels initially from the MX to the Midi track which echoes it back to the MX hardware, which then returns audio.

For some reason your Windows computer thinks you have two MXs, but this is probably because you've changed the USB port since the first attempt at setting this up. This is not an issue, however.

I see you also have a Steinberg UR22mkII - since everything about your MIDI routing is correct, we can jump right to which of your two devices is connected to your speakers. If it is, as I suspect, the UR22mkII this means it is currently acting as your audio interface. To monitor the MX through your speakers you must connect the main L/R outputs to the UR22mkII.

If you are using the UR for something else, the sound of the MX can be monitored via its headphone jack. In general, the main audio interface (the one connected to the speaker system) is responsible for allowing you to monitor signals as the enter and/or leave the computer. If you are not using the UR22MKII then connect your speakers directly to the MX's audio outputs.

If you have no speakers connected to the MX audio will only be heard from the headphone outputs.