Thanks Hurghanico, but I have checked and the MIDI OUT is set to OUT, and I have tested both ABCD and FS 5-8, but it still only works with patch changes and not FX toggling.
For receiving MIDI data, should FS1 be assigned to MIDI CC#51 in the MIDI Assign Settings, or should it be blank, or does it matter? I set it to CC#51 in order to record the MIDI data to Cubase, but should it be blank for it to playback? (note: I've tested both ways without success)