The Cubase Control room has a mapping to output channels on your recording interface.
An audio signal that you send in Cubase to e.g. AN 1/2 OUT you will find in TM FX
in the middle row "Software playback channels", in this case SW Playback AN 1/2 Out.

Here TM FX acts like a patch bay.
In TM FX submix mode you have to click on a HW output in the bottom row to see the submix for this particular output according to the fader positions of HW inputs (top row) and SW playbacks (middle row).

I suggest that you reset TM FX with
  Options -> Reset Mix -> Total Reset
and then perform a routing that is the same as if you would enter TM FX's DAW mode (where you would route only in the DAW):
  Options -> Reset Mix -> Straight Playback
The result of this routing is, that audio that you send in the application to (SW Playback) AN 1/2 out will be routed to (HW Output) AN 1/2 out ....

From there you can start to create other routings, best in submix mode, by following the usual procedure
- click to a HW output
- select the desired submix/routing for this particular output by turning the faders up/down of HW inputs and SW playbacks.

HW Inputs are the real inputs of your recording interface, they are passed unmodified towards the application/DAW
SW playbacks is everything which is being send from the PC/application either through ASIO driver or the WDM drivers for the OS and applications that do not support ASIO (if you are using a PC, Apple has no ASIO).

The flexibility of TM FX is, that for each output you can select whether you want to hear an audio signal
- directly from the HW input with near-zero latency through the digital routing matrix of the interface or
- from the DAW (SW playbacks) with the usual RTL (round trip latency) through USB

In some cases, e.g. when recording vocals to a backing track, it is useful to hear vocals directly without any noticeably latency, compared to a monitored signal from DAW which has the RTL when the signal needs to be transferred two times over USB until it reaches the phones.

More information

My step by step setup guide might be a little help for you for the basic steps to set things up:
https://www.tonstudio-forum.de/blog/ind … rnal-equi/

Take your time and do not miss to watch the great RME video tutorials:
https://www.tonstudio-forum.de/blog/ind … al-Videos/

It's also advised to have a look into the very fine manual, as it contains many useful informations.
The latest version you find online:
https://www.rme-audio.de/downloads/fface_ucx2_d.pdf
https://www.rme-audio.de/downloads/fface_ucx2_e.pdf