Hi,
I don't use Cubase. I assume a standard volume automation track in cubase send out midi CC#7 data. If so, then you have to assign that midi CC to DX7 volume, as it's not assigned by default, if that's the way you wan't to work.
Or you can ie create another automation track and choose DX7 automation volume parameter for that track.
Or perhaps set Volume in DX7's modulation matrix, and control it in other ways.
You can also automate your DAW channels volume.