Robert is right in that it is a matter of setting up Cubase. I have actually had a discussion recently with another Octopus user, who was so kind to share his solution to the problem. I am no Cubase user either, but I do hope this is helpful for you as well.
A member on the Cubase forum was kind to give me a couple solutions. I send you his answer if there is someone else with a similar problem.
Here’s the soultion to my problem:
"If you just want to record what is coming from the hardware sequencer, then just record it onto one track, select the MIDI part on that track, and from the MIDI menu, select "Dissolve part" … when the dialog appears, choose "Separate channels". You’ll end up then with the original track (which you can mute) and a new track for each channel present in the original. Each of these tracks can now be routed to its own VSTi.
If you want to play things in realtime, or if this is a transfer you will need to do on a regular basis, then a better approach would be to set up a template project with 16 MIDI channels and use the Input Transformer to allow only MIDI channel 1 on track 1, channel 2 on track 2, etc. Then record in the normal fashion and you will find that the MIDI data from each channel will get recorded on the track of the equivalent number. Each recorded track can be set up to play its own VSTi, which is an advantage over the first method, because now you can play the sequencer in realtime and hear (audition) the sounds in Cubase.
The Input Transformer is described fully on page 377 of the Operation Manual.
Ideally you should also set the sequencer’s synchronisation to slave to Cubase, and set your project to the same key signature as the song in the hardware sequencer."