@leehu - That was exactly what I needed, thanks. Well, that and a couple of other forum posts:
Your advice makes sense, although not intuitively. However, if we think of my VST as an instrument and not an effect, it becomes more obvious. Like a VST synth, I accept MIDI input and do some processing on that input, although that processing doesn’t produce any audio output. However, like instruments may, it does generate MIDI output and, of course, that MIDI output can be used as an input to another instrument.
So for my future self, and for others asking the same question, my resulting setup in Cubase is:
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Add the VST as a Track instrument:
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Route the appropriate MIDI input device (in my case Keylab 88) to the input of the ArpeggiatorPlugin instrument:
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Route ArpeggiatorPlugin instrument’s MIDI output to the input of the relevant instrument(s):
In the above case, I am routing the output to three separate instances of Halion. As it happens, I could route the output to a single instance since my plugin outputs across 16 MIDI channels, but the use case I wanted to prove out here was to go to separate instruments so that I’m not tied to a single multi-timbral instrument.
It sounds fantastic! - much better than MS GS Wavetable Synth - and consequently I am encouraged to continue with this to flesh it out into something that others may find equally interesting.
Thank you so much, @leehu, for setting me on the right path.