Thanks for your reply - but no joy. I managed to get my midi keyboard to change the plugin preset (the Cubase one in the little field at the top). However changing this during recording has no effect on playback, despite a program change being recorded in the program change lane in the midi data.
I also tried recording a midi channel change and having a different instrument on a different channel in HSO, but the change of midi channel wasn’t recorded. I don’t think anything is being midi filtered.