The OB-6 has more parameters than are supported by the basic MIDI CC spec. So only a subset of the OB-6’s parameters can be transmitted or received by MIDI CC. That’s why the OB-6 supports NRPN — it allows for ALL the OB-6 parameters to be sent over MIDI (as well as a greater granularity in those values).
So, in the case of the Effects parameters — these are some of those parameter types that are not sent or received by the OB-6 over MIDI CC. And, by your Global Settings, I see that’s exactly what you’re trying to do. Which is why it's not working.
Now, ‘lest you think you can just turn on NRPN (rather than CC) and be done with it — there is a major caveat: Not every DAW supports NRPN. Ableton Live and Bitwig Studio are two modern and popular DAWs that do not (I don't use and don't know about Cubase).
Also, you mentioned that your sequencer wasn’t working over MIDI. That’s because your MIDI Clock is set to OUT, meaning it can SEND MIDI Clock, but not receive it. You need to set it to “IN”. Or use my preferred value, which is “nSS” — which means that the OB-6 will receive MIDI clock but won’t automatically start playing a sequence the second it “hears” a clock.