Either insert a CC1 event at the level you want at the beginning of the track (you could do this in a VST lane for CC1, or in a controller lane in the Keyboard MIDI editor), or experiment with options for resetting/chasing controllers in the Cubase MIDI settings.
Somewhere in the Cubase settings are options for working with the transport. I think by default stopping the transport sends a group of controller resets, which essentially ‘stops all sounding notes’, then ‘zeros the modulation wheel, pitch bend, etc.’. Seems like there is even a single general MIDI cc that’ll do all that in one go if the instrument understands the cc and is set to allow it.
There are also options for having the various editor chase controllers as you scroll about in the score/tracks and interact with things.
Find that stuff and experiment.
Another thing worth considering, is to assign dynamic control to CC11 instead of CC1. It’s handled a little differently in terms of ‘resetting controllers’ I ‘think’. I.E. It’s pretty common to want a modulation wheel zeroed for a fresh start anytime we stop the transport. No so much for expression volume…resetting that controller, a value of something like 64 would make more sense in terms of the way the ‘General MIDI’ reset controllers protocols were designed?