Hello Mozartius,
Welcome to the forum. (I've moved your topic here since as far as I know you're currently using the Free or evaluation editions.)
If you want to create a MIDI file that will play back in Hauptwerk's built-in MIDI player then, with the desired organ loaded (St. Anne's, for example) you need to use the specific, fixed MIDI implementation that the 'Recording | View MIDI recorder/player/sequencer MIDI implementation (for this organ)' menu function describes.
For example, with St. Anne's, in order for MIDI notes in your MIDI file to play on the virtual Swell manual you need the notes to be on MIDI channel 3.
The 'MIDI sequencing, the Hauptwerk AU/VST Link and applying real-time reverb' section in the main Hauptwerk user guide (on the Help menu in Hauptwerk; pages 181-199 in the current v4.2.1 version) covers everything in detail, and it's important to read through that section, especially if you're aiming to use Cubase to play Hauptwerk directly, since Hauptwerk works differently to conventional VST plug-in instruments. In particular, the 'Composing pieces off-line from a MIDI sequencer configured conventionally (Hauptwerk as a ‘slave’ MIDI device)' sub-section (pages 189-194) has step-by-step instructions for using Hauptwerk with a sequencer in the traditional way.
However, if you're just using Cubase to create/edit MIDI files, and then loading them in Hauptwerk's built-in MIDI player then you don't need to connect the two applications together -- just make sure you use the MIDI implementation described by the 'Recording | View MIDI recorder/player/sequencer MIDI implementation (for this organ)' menu function.