Bummer.
I go through this kinda crap on a regular basis & feel yer pain.

I've never used Cakewalk but on Cubase, the next thing to check is to make sure the output is going to the right instrument.
(For each track on Cubase there's a pull-down selection).
If you're using a VST instrument, you have to select which one.
If you're using an outboard instrument, you have to select which port you're using (firewall, usb, modem etc..)
Also check to be sure you're transmitting on MIDI channel #1 or "ANY".
(it may not matter but try anyways)

Make sure the VST instrument is turned on or the outboard keyboard is ready to go and plugged into an amp.
Make sure you have a working patch loaded.