Exactly the same problem here
Master keyboard: Roland JD-800... goes through Miditemp MT16X to filter MIDI Active Sensing signal... before entering M-Audio Midisport 8x8/s interface.
Sequencer: Cubase SX3 with CS-80v loaded in VSTi-list
PC: Pentium D 830 3GHz , 2GB DDR2 667MHz, WinXP-Pro
Live played through Cubase MIDI-track (monitored): Moving keys but no sound :?
Played by recorded Cubase MIDI-track: Moving keys AND sound
Example:
Bank: JM.Blanchet, Sub-Bank: Pads, Preset: J.M.B_Classic_saw.