I find that using external masters for DAW sync isn't reliable in most cases and it's best to set the DAW to master, send clock to the keyboard, and set the keyboard as slave. I don't use Cubase so I can't help you with that, but that's the direction I'd go.
Note this isn't unique to the P12 by any means. I have this issue with nearly every DAW and every external clock mechanism so far. It's no big deal, the DAW is the clock master. If I want different sync to my rig (as I usually do) then I slave the clock master for the rest of the rig to the DAW - in my case my drum machine is always the MIDI master clock and it (and only it) slaves to the DAW. Everything else slaves to it.