Well, I fired up cubase and assigned the output port to my Korg. I can select banks and patches at will from within cubase so I'm thinking that maybe the midi cable you're using is defective. Do you have access to another midi interface aside from the Audigy's midi port? That way you can rule out that the midi in of the MS isn't defective.
What's the channel of the midi track you created? As far as I remember, the MS
is 4 note polyphonic but
2 voice multitimbral, so you could theoretically control it with 2 midi channels. Assuming your global channel is 1, assigning midi channels 1 and 2 to the cubase tracks would allow you to control the MS. Just looking at the possibilities...