Assuming that Cubase SE is similar to Nuendo...

Go to ... Preferences/VST/Auto Monitoring.

... on the pull down menu you should have a choice between manual, while record enabled, while record running and tape machine style.
Try switching between these settings until it works the way you prefer.

Right now, what's happening is you're monitoring the sound after it's been recorded on your hard drive....hence the delay. You want to set it so that you get live monitoring while you record and have it switch back to monitoring from your hard drive during playback.