Is There a Way To Do This in Cubase?

No, you can do it in Pro Tools too,as well as Studio One. What you are reading about is a direct monitoring thing going on in Logic that works with the Apogee really well. This is different, it’s just a send coming from the Apogee interface. You choose that send as an input into your Aux track, which you can’t do here in Cubase it seems. Note that in the video he chooses the interfaces FX SEND as the input to the new Aux track he makes in Logic. It’s not the direct monitoring button in Logic, that’s a different beast.