This affects only macOS.
At present it is not possible to record UF8/UF1 as native MIDI CC data in Cubase and Nuendo on macOS. Our development team are investigating this at the moment.
In the meantime you can record this data as automation instead.
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.