make sure that you first read the FAQ from the steinberg website to learn about Cubase Sx rewire mode... it might be just a stupid parameter!
my view is :
1/ open cubase
2/ check rewire mode (enable 1+2)
3/ open Reason
4/ choose a virtual instrument
5/ back to Cubase choose the virtual instrument you want
6/ if you open a session with Reason, the rewire may not be enabled... just make a new virtual instrument in Reason and then Cubase will find all the other ones... (then delete the unused virtual instrument from Reason...)
hope this helps...

but I assume that the problem is not here...