The default setup for the click in both Cubase SX and Nuendo is not the main 1 & 2 outputs. To hear the click you need to change the click output to the same outputs that feed your monitors.

To do this, go to:
Devices > VST Connections (or hit F4 on a PC)

Click the Studio tab
•NOTE• Many users fail to see all the tabs in this new window as the default opening fails to show the Studio tab. Expand the Window to the right until the Studio tab is in view.

In the Studio tab; change the Device Port to your main outs, which for most users is the Analog out 1/2 L and R. Close this window when finished.

Next, Open the Mixer view and scroll to the Audition Track. This fader also needs to be up as the Audition fader is the main control of the click volume.