Yes, the keyboard works fine as far as any other midi keyboard would and all the keys and pots control the right things, its just that Cubase (and Live for that matter) does not update the keyboard with the default positions for each of the pots for the chosen AF preset.
In the device set-up in Cubase you can set both input and output, now I would assume that if the keyboard is to receive details of the AF preset default parameter positions, then you should be able to mark it to output this information here, like any other remote device that accepts feedback, but you can't which makes me think this is a software issue.
When using AF as a standalone app it has fancy ghosting of where the ADSR sliders are, this is not in the VST. It just seems that the keyboard does not sync with the software when its run as a VST, the keyboard behaves just like any other run-of-the-mill MIDI keyboard (that happens to have exactly the same pots and buttons
).