Welcome to the DUNE family.
I don't own Cubase so can't help with that but I believe you want to save your Midi Files as Type 0.
"Standard MIDI Files come in two basic varieties: a Type 1 file, and a Type 0 file. In a Type 1 file individual parts are saved on different tracks within the sequence. In a Type 0 file everything is merged into a single track".
From the DUNE 3 manual:
The Midi mode allows to use standard MIDI files as a basis. The files should contain only a single
track, and they should be monophonic. An exception is when the "Playback" mode is chosen,
in this mode polyphonic MIDI files can be played back too.
This link from Steinberg should help. It mentions "Export as Type 0" so give it a read and see if that works.
https://steinberg.help/cubase_ai_le_ele ... ing_r.html