MPE stands for MIDI Polyphonic Expression. Some MIDI devices support MPE. These are multi-dimensional MIDI controllers that allow you to vary the pitch and the timbre of individual notes while playing polyphonically.
In MPE, each note is assigned its own MIDI channel. This allows you to apply expression messages to individual notes.
To be able to work with the MPE features in Cubase, that is, to polyphonically play and record expressions, you need an appropriate MPE input device. Some MPE input devices are detected and set up automatically.