Why will the 01W not send its program changes to Cubase?

[HPH24]

I have Cubase Studio 4 set as the master clock and on the 01W, Local Control is set to OFF and the clock source is set to External. This is what the ONE page in the 01W manual relating to external sources says to do. At this point, Cubase SHOULD play the sequence in the 01W, but it doesn't behave properly. It usually just locks the 01W up entirely!

When it does record, it scrambles the Programs badly. There is no evidence of a program change header or any such information. The NOTE information plays back; the MIDI Event List in Cubase shows NO PROGRAM CHANGES coming from the 01W, so the piece never sounds the way it should. This is absolutely screwing me, as I HAVE to manipulate the MIDI tracks with quantizing and the like or all of that work is lost.

How do you get the 01W to send out its own program changes within a sequence? I see note and pitchbend data, but no PROGRAM CHANGES. I've tried numerous variations, including starting the sequence from the Korg, but still, that vital data is never retained, or maybe ever sent at all. Neither Korg nor Steinberg seem to be able to help and it seems as though this flagship synth is missing a terribly important function. Help!