How to connect an external synth to Cubase for audio and midi

I’m trying to do something similar as the OP, also with a UR22 mkII. This thread and other info has been very helpful so far but I haven’t been able to resolve how to accomplish my main goal:

I’m using an external Roland XP-30 synthesizer, which is loaded with a lot of great instrument sound patches that I would like to use in my recordings, rather than just VST instruments. How can I successfully make use of the on-board synth sounds? Can I record the synth performance into Cubase via MIDI cable connection through my UR22 interface and have the Roland on-board instrument sound stored into that MIDI data for playback and mixing?? Are the Roland on-board sounds only useful for live performance or audio input recording??

I would like to be able to use MIDI editing in Cubase, so an audio wave recording via audio inputs isn’t what I’m after. So far I have only been able to hear my MIDI track played back using a VST instrument, which doesn’t allow me to make use of the thousand or so great instruments and drum kits on my Roland XP-30.

It seems there’s lots of options on how to go about something, so if it helps I’ll add that I’m looking to produce music closer to orchestral/score style music, and I rely heavily on keyboard performance input as a musician.
I hope I’ve explained what I’m trying to accomplish . . .