You use “channel” for a bit too many things, so just to clear things up - this is what you should do:
- Create a track in Cubase and have the track listen to midi channel 1.
- Configure a sound in mx49 and make it send on midi channel 1.
- Create a new track in Cubase and have the track listen to midi channel 2.
- Configure a new sound in mx49 and make it send on midi channel 2.
Is this what you did? If it is, there is no apparent reason as to why the sound on midi channel 1 would change when you change sound on midi channel 2.
Regarding drums the standard way is to have all drums on midi channel 10 and record them on one track in Cubase. You can edit the track with the drum editor in Cubase, or - if you absolutely want them on separate tracks - you can use the Dissolve function in the Midi menu to create a separate track for each drum. You can still have them all play back on the same midi channel even if they are split on separate Cubase tracks.