The problem is that Cubase sends the both bank controller messages (Controllers 32 and 0), but it sends them in the opposite order from what is normal. For example, let's say that you want to call up program 770 on the Kurzweil. So you need to send controller 32 with a value of 7, followed by program change number 70. What happens is that Cubase sends controller 32 with a value of 7, followed by controller 0 with a value of 0. Although these values are correct, the order causes problems for the Kurzweil. This is because under default settings, the Kurzweil was designed to respond equally to both controllers messages (the reason for this is that some sequencers/controllers can only send one or the other controller, but not both). So with the default settings, the Kurzweil always ends up reverting to bank 0, since it gets the controller 0 message after the controller 32 message.

The solution to the problem is to go to the MIDI Receive page on the Kurzweil and set the Bank Select parameter to 32Only. This will force the Kurzweil to listen to just controller 32 and it will now go to the correct bank.