First step is to create an empty Cubase song, then apply “Create VST Connect” from the VST Connect menu. That should always work.
With an existing project try “Repair VST Connect”.
Open the Control Room window and check the “VST Connect Monitor” item. It should be located below the output you use, so if you use dedicated headphone outputs move it there. You should now hear the Performer in Cubase provided the Monitor control in the plugin is up which it is by default. The Performer signal goes directly to that output.
When Performer doesn’t hear you make sure your Talkback Mic is active in the Control Room and that it is enabled for the VST Connect Cue. You should see your talking in the Performer Monitor Mixer. If you do and Performer still doesn’t hear you make sure the Performer Master fader is assigned to the Performers’ hardware output (top item on the channel view).
For even more in-depth and troubleshooting see https://connectvst.com