The MX has its own built-in USB audio interface - it is what is considered a 2-in/2-out audio interface. This means the computer sees 2 channels coming in (Left/Right) from the MX and that the computer sends 2 channels (Left/Right) back to the MX which is connected to your monitor speakers.

This means that all PARTS of the MX are assigned to the main LEFT/RIGHT outputs that arrive at the computer. So yes, if you try to add Effects or one of the MX sounds you are applying it to all MX sounds. The way you can assign computer based Plug-in Effects to the MX is by soloing the MIDI Track, and bounce the PARTs, one-at-a-time... Old school style.

Multi-track recording was invented by a Mr. Les Paul (yes, that Les Paul) and is based on recording your audio tracks one-after-the-other. By isolating (muting all other PARTS) you can apply the Effect to just that single PART> as you render it to an AUDIO TRACK in real time.

Workflow: Create some or all of your data to MIDI tracks - get them sounding so that you have a good idea of what the composition will sound like... then start to play them back - isolating a Track at a time - process it with effects as you print it as audio to your DAW (Cubase 5). Once you have bounced the PART to AUDIO - you can mute that MIDI track (i recommend putting it in a FOLDER - save it as a backup in case you need to redo something. Then move to the next Track.

Multi-track recording is time honored way to work.

Hope that helps.