According to the Roland XP-50 document, Program Change and Bank Select should both be on. Otherwise you will not be able to make bank selections and program changes from your sequencer program. I handle all bank and patch changes in Cakewalk. Once I set the Performance (to Preset A-12, "POP SET 1" or whatever), I do not make any bank or patch changes on the XP-60 itself. I go to a track in Cakewalk and set the MIDI channel to say, 3. Then I select the MIDI port that is connected to my XP-60. Once I do that, Cakewalk displays the banks and patches in drop-down list boxes (based upon the instrument definition file for the XP-80 which I loaded when I first got the XP-60--I'm fairly certain there would be something similar for Cubase). I select the bank and patch I want for that channel, and once I make the selection, the XP-60 display changes to reflect the bank and patch change. An asterisk appears by the "POP SET 1" Preset to indicate it has been changed--the part on channel 3 has been changed from the patch in the original preset. You don't need to worry about it, though because the changes are lost when you change to a different preset. Then I record the MIDI data for that track. Next I repeat this procedure for the next track, say MIDI channel 4. I arm that track for recording and start recording. The previously recorded tracks play back with their proper instruments. As I play along to record the new part, I hear the correct instrument for the part I am playing. When I finish and play back the project, each track plays back through its assigned channel with the correct instrument on the XP-60.
With regard to effects, reverb, and chorus, the type of effect, reverb, or chorus is the same for all channels, but you can adjust the level applied to each track. Again, I do this completely through Cakewalk by moving the reverb and chorus sliders on the console display.
Hope this helps.
Rod M.