Right, if memory serves me correctly the plugs on these cables are marked the opposite way around to the way you might expect.
IN on the plug on the cable means that it is the MIDI IN for the interface, and therefore needs to be plugged into the MIDI OUT on the connected device.
OUT on the plug on the cable means that it is the MIDI OUT of the interface and should be plugged into the MIDI IN of the connected device.
Of course, this only applies to my cable, it may not apply to yours.
Disregarding Hatari / Cubase for the time being do you have any other native Windows MIDI application which you can try to see if that can detect and use the cable?
You could try MIDIOX for example, it is a general purpose MIDI toolkit program which may prove useful in troubleshooting your MIDI cable independently of Hatari, which may need specific tweaks to get it to see the interface. If MIDIOX can see your cable and use it then you are looking at a 'Hatari for Windows' MIDI problem.
http://www.midiox.com/
I asked about MIDI support in the Windows version of Hatari over at atari-forum and the response I got was that it would support whatever devices were supported in the 'portmidi' library. I don't know if this means you would have to compile Hatari for Windows yourself and include that library in the build, or whether someone has already produced a Windows 'binary' which includes this modification, since Windows users expect software to be supplied ready-to-run.
Part of the problem is that Hatari for Windows is not directly supported by the original devs, who wrote it for Linux: But it is open-source, and I think the MIDI for Windows side of things has been added by someone else.