If the keyboard isn't doing anything -- producing sound -- then you probably don't need it after you captured the MIDI info through the piano keyboard. In fact... Just one MIDI cable. Out from the keyboard, in to the computer. Because if the keyboard isn't producing sound, it doesn't need any feedback from the computer. Although... The computer might control things on the keyboard -- Computer is master, keyboard is slave. That type of thing.
If you want the audio, like onto a CD or mp3 file, you need to have the computer play the MIDI and record that into audio. Or maybe they can just convert it now. Then save the audio file and burn it to a CD or whatever.
Although... I'm not an expert, but I heard that audio is piped through your computer's sound card, which is a consumer level sound card for a consumer computer -- basically cassette tape quality. That was awhile since I heard that. And I don't really understand that part. But I heard you're supposed to get a better sound card. They make free-standing sound cards I believe. Anyone know if that's true? Or is that just to get pure audio out of the computer? Recording the audio out of the little headphone jack isn't going to be high quality for sure.
Maybe that will help. The MIDI is just information, 1's and 0's. The program probably saves it as it's own file for that program. That's still not the audio. I wouldn't be surprised if there was a "convert to audio" button somewhere, maybe in the file menu. I don't know if Cubase does audio too, although I'm thinking it does. It must. If the computer is producing the sounds.
Although if the keyboard is the piece producing sounds, then you need to capture the audio from that.