I think that Cubase only supports Text meta events to create them.... (at least in VST5)

However, you should be able to record ANY events that your Yamaha sends, and then copy and paste from that point.

If you have a new Intel Mac, I imagine that the Winjammer program should work fine under Windows in BootCamp or Parallels
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An arranger is just a tool. What matters is what you build with it..!