I use Ableton, but one of the things that got me hung up in setting up PlugSE is the fact that I had to go into my Ableton Preferences -> MIDI Settings, and disable all connections to Rev2 from Ableton... ie: disable Track, Sync, Control for both MIDI input and output. After disabling the hosts connection to the Rev2, then you can bring up PlugSE on a track and properly connect. Note: I'm using USB midi... not sure if its different using 5-pin din... but with USB MIDI, only one "program" can connect with the Rev2 at a time.
As far as the MIDI settings in PlugSE, select the Rev for input/output, leave controller unselected, and I believe I have the first three boxes checked on the top right. And MIDI clock checked.
On the Rev2, make sure that in Globals, you are sending/receiving via the right ports (ie: USB) and that MIDI Param send/receive is set to NRPN.
Not sure if the same is true in Cubase...