Cubase does not support from VSTs they use their own Device Panels (XML files), some hosts do support SysEx from plugins (like FLStudio) some don’t support any MIDI from plugins (like Ableton Live). The whole MIDI issue is a big thing i’ve been working on my Ctrlr project for some time now and i tested this on almost every DAW there is. I decided to transmit MIDI directly to the device from the plugin, this causes issues with time-based events (notes and others) but for generic Editing puproses, it’s enough, plus using some virtual MIDI devices you can setup a decent enough routing to get you going.
The Ctrlr project is all about MIDI in AU and VST plugins, http://ctrlr.org has the current list of supported devices, the sourcecode for the framework and all the Ctrlrs is here http://code.google.com/p/ctrlr/ it’s GPL so have a go. I’m trying to build a universal librarian now, that will be able to dump and send programs for each device, using simple LUA scripts for message translation from Ctrlr to the device, so other people can write those little pieces themsleves.