There are two components to what you need to do. One is handle the MIDI data, which represents your musical performance, This you have done by saving a .MID File. The second component is the S90XS Multi. I see no mention of how you stored/saved that data.

The Multi is the 16 Part Synthesizer Setup you used in the keyboard to interpret the MIDI data. You must create a link between the MULTI and the .MID File so that when you playback the MIDI data it is triggering the right set of instrument sounds.

Did you Name and STORE your MULTI in the S90 XS?
If yes, you can create a SEQ CHAIN.
This function allows you to first recall your MULTI with Step 1
Then you can tell it to access the .MID File with Step 2

In this fashion you can automate a play list, programming pauses, etc., See the Manual for details.

I exported the .midi file and checked:

1. Export Inspector patch
2. Export Inspector Volume/Pan

After connecting the USB in the s90:

1.MULTI/SEC PLAY
2. ENTER
3. navigation to the file
4. ENTER ... Sec chain step... ENTER
5. START/STOP

but it sounds totally different

I can play it properly in the multy mode only when the PC is connected to the S90 and the project window in Cubase is open

Did you Name and STORE your MULTI in the S90 XS?
If yes, you can create a SEQ CHAIN.
This function allows you to first recall your MULTI with Step 1
Then you can tell it to access the .MID File with Step 2

In this fashion you can automate a play list, programming pauses, etc., See the Manual for details.

Your screenshot about the Export is meaningless here... you don't have the ability to transfer the Cubase Track Inspector to the S90 XS.
480 and Export as Type 0 should be marked.
The file should also be .MID (not .midi)
You need to have STORED your MULTI in the S90 XS..

AGAIN: Did you name and Store your Multi? You need to!!!
In STEP 1 of the SEQCHAIN you will need to recall your MULTI... place the highlight next to Step 001, using the Data Dial call up the name of your Multi (the on earth with the correct sounds in it)
In the second step of the Seq Chain you need to recall your .mid file... you do so by highlighting Step 002, press [ENTER] select your .MID file.

I made a video. Here it is https://youtu.be/E5yes5OBkzs

I gave the new name while I save the .mid in the USB. I tried to set a new name when stored it into the S90 but i don't know how.

First, start with Step 001 (come on, I shouldn't have to say this) but start with Step 1
Call up the Name of your Multi. Never name your Multi "Initialized Multi"

What is the name of your MULTI?
Get your Multi's Name to appear on Step 001. These represent the Sounds you've selected to play this .MID file
Press the Down Cursor arrow once to move to Step 002 you missed this step in your video
Press [ENTER]
Select your USB stick and find your .MID file

You should now have two Steps with events.
001 recalls your instrument sounds
002 plays the .mid data direct from the USB stick.