You guys have both mentioned (DG and Dietz) about going into F4 (devices>vst connections and checking the outputs and setting a "monitoring" hardware device of some sort. I have no idea what you mean by this as I have no idea what possible "hardware monitoring" device it could possibly require.
Here is a screenshot of my F4 screen as you can see it does not allow me to 'set' or add anything because it says 'no connections' there.
[IMG]http://i18.photobucket.com/albums/b101/theheresy/Cubase8.jpg[/IMG]
And DG to answer your question I tried to do what you said and imported an mp3 track and hit play and it didn't play and there was no wave graphic action visible either so somehow it's not playing at all. However if I import a midi, those do play, just not when I route them to VSL.
[IMG]http://i18.photobucket.com/albums/b101/theheresy/Cubase9.jpg[/IMG]
It seems perhaps the problem is something in that F4 Devices>VST Connections window because both of you have now mentioned something needs to go there but the question is what? As you can see I cannot select anything in there, it simply says "Audio Device: Not connected".