Please note this has now been fixed in 360 version 1.8. This information is only applicable to versions prior to 1.8.
This affects only macOS.
Due to the way in which Cubase and Nuendo handle MIDI, you must do the following in order to record MIDI CC data:
Navigate to Cubase > MIDI > CC Automation Setup... and set Record Destination on conflict to Automation. Put the MIDI channel into WRITE and the UF8/UF1 MIDI CC data will be recorded as automation.